We discuss a number of ongoing efforts when developing customizable software systems and frameworks for problems in Quantitative Finance. In particular, we examine the interplay between architecture, patterns and modern object-oriented and generic programming paradigms. […]
In ‘CCR KVA Relief through CVA: a Regression-based Monte Carlo Approach’, published in the January 2019 issue of Wilmott Magazine, Christoph M. Puetter, Stefano Renzitti, Allan Cowan present and examine, by example of a USD […]
We apply order statistics to the setting of VaR estimation. Here techniques like historical and Monte Carlo simulation rely on using the k-th heaviest loss to estimate the quantile of the profit and loss distribution […]
This article shows how a simple parser environment in Excel/VBA could be used to perform single and multi-dimensional Monte Carlo. The clsMathParser is a class for math expression evaluation in Excel/VBA. We show that a […]
We describe how we have designed and implemented a software architecture in C++ to model one-factor and multifactor option pricing problems. We pay attention to the fact that different kinds of applications have their own […]
The sensitivities of the value of an option to the model parameters, a.k.a. “the Greeks,” are crucial to understanding the risk of an option position, as well as tasks such as model calibration. Outside a […]
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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 […]
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 […]
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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