Articles

Wilmott 100: Paul Wilmott Waxes Nostalgic

3rd April 2019 Editor 0

Wilmott Magazine reached the milestone of 100 issues with the publication of the March 2019 edition. What better time then to delve into the history of the magazine, the changes in quantitative finance over the […]

Articles

Wilmott 100: “Why’s it Square?”

27th March 2019 Editor 0

Wilmott Magazine reaches 100 issues this month. Having realized the milestone might have some significance Paul Wilmott and Dan Tudball recently sat down with Randeep Gug of the CQF to delve into the history of […]

Articles

Teraflops for Games and Derivatives Pricing

27th February 2019 Editor 0

Financial computing continuously demands higher computing performance, which can no longer be accomplished by simply increasing clock speed. Cluster and grid infrastructures grow, their cost of ownership explodes. Over the past twenty years, financial computing […]

Articles

Rootless Vol

24th December 2018 Editor 0

Even if you started out clueless about the volatility σ , given a good enough measuring stick and fast enough hands you ought to be able to measure it quickly and accurately. In practice you […]

Articles

Forecasting the Yield Curve with S-Plus

10th December 2018 Editor 0

Methods capable of forecasting the entire yield curve based on a time series extension of the Nelson-Siegel model Nelson and Siegel (1987) were suggested in the literature and compared to the non-parametric alternatives Diebold and […]

Articles

Amaranthus Extermino

26th November 2018 Editor 0

On September 19, 2006 the hedge fund Amaranth Advisors of Greenwich, Connecticut announced that it had lost $6 billion, about two thirds of the $9.25 billion fund in less than two weeks, largely because it […]

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