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Wilmott Inner Circle
The New New Math
As I was reading Eugenia Cheng’s delightful new book, How to Bake π, I was reminded of my childhood exposure to “new math.” This was the original 1960s version, instigated by the idea that the […]
Julia
Julia Seminar for Quants in London
Last week’s Julia in Finance seminar in partnership with the CQF Institute, held in London, was a great success. More than 370 finance professionals registered online or attended in person. Along with customer and partner […]
Wilmott Inner Circle
The Irony In The Derivatives Discounting
A simple and fundamental question in derivatives pricing is how (contingent) cash-flows should be discounted. As cash can generally not be invested at Libor, the Libor curve is probably not the right discounting curve, even […]