Articles

Binary Backwards

Anybody who writes exams or performs job interviews knows the value of questions. If they are based on true stories or statements, even better. To my delight this showed up in my Twitter timeline: (Let […]

Articles

Primer On Arbitrage And Asset Pricing

  Financial decision making is typically concerned with the amount of investment capital to allocate to various assets or asset classes in various financial markets. The opportunity set can be very complex, with sets of […]

Wilmott Inner Circle

The Irony in the Variance Swaps

You’ve just tried to access content that is only available to WILMOTT INNER CIRCLE members! Membership of WIC is a simple, free, upgrade to ordinary membership of wilmott.com. All we need is a bit more personal […]

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Volatility: Time and Black–Scholes–Merton

The formalism of Black–Scholes–Merton knows of no such thing as the past or the future. When it models the stochastic process of the underlying asset price as Brownian motion and symbolizes its volatility by σ, […]