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  • [ 13th February 2019 ] The Alternating Direction Explicit (ADE) Method for One-Factor Problems Articles
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  • [ 23rd January 2019 ] An Asymptotic FX Option Formula in the Cross Currency Libor Market Model Articles
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  • [ 17th January 2019 ] Data and Code for R Tutorial on Machine Learning: How to Visualize Option-like Hedge Fund Returns for Risk Analysis Wilmott Inner Circle
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Paul's Blog

High Frequency Trading and the UK Government’s Whitewash

22nd October 2012 Paul 0

The UK Government’s Foresight Project has just announced the results of its two-year investigation into electronic trading and markets. And the good news for hedgies is that they’ve decided that high-frequency trading is mostly safe! […]

Paul's Blog

Taxation To Slow Down High-Frequency Speculation While Not Affecting Hedging Activity

11th November 2011 Paul 0

The Tobin (or Robin Hood) Tax was proposed decades ago by the eponymous Nobel Laureate (that’s James Tobin, not Robin Hood) as a means of stabilizing currencies via a small tax on all transactions. Every […]

Paul's Blog

High-frequency Trading: Where are we and how did we get here?

28th June 2010 Paul 0

“The truth is the high-frequency traders create volatility and create liquidity,” said John Damgard, president of the Futures Industry Association. What he apparently meant to say was that they reduce volatility, not create it. And […]

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Latest Articles And Blogs

  • The Alternating Direction Explicit (ADE) Method for One-Factor Problems
  • Stochastic Processes in Finance – Part II
  • An Asymptotic FX Option Formula in the Cross Currency Libor Market Model
  • Wilmott Magazine: January 2019 issue
  • Data and Code for R Tutorial on Machine Learning: How to Visualize Option-like Hedge Fund Returns for Risk Analysis
  • CCR KVA Relief Through CVA, Homotopy Analysis for SABR and XVA, R for ML: Self Organising Maps for Risk Analysis
  • Rootless Vol
  • The Irony In The Derivatives Discounting
  • Forecasting the Yield Curve with S-Plus
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  • Stochastic Processes in Finance – Part I
  • Wilmott Magazine: November 2018 issue
  • Order Statistics for Value at Risk Estimation and Option Pricing
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  • Misinterpreting The Evidence
  • Wilmott Magazine: September 2018 issue
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