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Numerical Methods

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Option Pricing with Radial Basis Functions: A Tutorial

26 June 2019 Editor Comments Off on Option Pricing with Radial Basis Functions: A Tutorial

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 […]

Articles

Numerical Methods for the Markov Functional Model

19 March 2018 Editor Comments Off on Numerical Methods for the Markov Functional Model

The Libor Market Model of Brace Gatarek and Musiela (BGM) (1997) is the market standard model for pricing and hedging exotic interest rate derivatives. Its advantages include model parameters which are easy to interpret in […]

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