Options data and analytics provider moves to implied yield curve and replaces LIBOR with leading overnight rates in options implied volatility and Greek calculations for North America, Europe, Asia Pacific […]
The EOSIO Market Data Oracle enables smart contracts to access real-time market data, providing a link between off-chain and on-chain data […]
OptionMetrics, an options database and analytics provider for institutional investors and academic researchers worldwide, has released OptionMetrics IvyDB Europe 3.0. This update offers new features for institutional investors and academia to assess extreme volatility and […]
Dariusz Gatarek, co-author of the Libor Market Model with Alan Brace and Marek Musiela, has been busy of late – despite worrying that the vagaries of age might be catching up with him. He is […]
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 […]
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In this article, we introduce analytic approximation formulae for FX options in the Libor market model (LMM). The method to derive the formulae is an asymptotic expansion technique introduced in Kawai [Kaw03]. We first apply […]
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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