Articles
A Taste of QuantLib
Hello, and thanks for looking at this new feature of Wilmott Magazine. Why don’t I skip the usual introductions — we can circle back to that later — and show you some code instead? Let’s […]
Pricing
News
BMO Financial Group Taps Riskfuel Analytics
BMO Harnesses AI Technology for Capital Markets Structured Note Pricing and Scenario Analysis […]
Articles
Binary Backwards
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 […]
Wilmott Inner Circle
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 […]
Articles
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 […]
Articles
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 […]