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 […]


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 All we need is a bit more personal […]


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 […]


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 […]