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Wilmott Inner Circle

The Irony In The Derivatives Discounting

19 December 2018 Editor Comments Off on The Irony In The Derivatives Discounting
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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Life Settlements and Viaticals

27 June 2018 Editor Comments Off on Life Settlements and Viaticals
In this chapter… • life • sex • death 1 Introduction And now for something completely. . .morbid. Life settlements and viaticals are contracts associated with death. The two expressions can be used interchangeably, although […]
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Automatic Differentiation for the Greeks

16 April 2017 Editor Comments Off on Automatic Differentiation for the Greeks
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 […]