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From arXiv
Wilmott picks the most interesting new submissions from the arXiv qfin list so you don’t have to
local volatility
News
“They Were Absolutely Convinced This Was Ready For The Dustbin”
Ever shrinking margins and the continued mass adoption of FX trading platforms present only one possible solution from the sell side perspective: increase volume. At first blush, not too daunting perhaps, since the product range […]
News
“The Minimum of the Smile Fit is Not Even in The Market!”
Uwe Wystup, well known to Wilmott Magazine readers for his FX column, recently spared some time to catch us up on current developments in the FX space from a quantitative perspective. Late February through March […]
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Adjusting Volatility To Discrete Cash Dividends
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Articles
Teraflops for Games and Derivatives Pricing
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 […]