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Methods for Constructing a Yield Curve: Wilmott Magazine Article
Patrick S. Hagan & Graeme West 1580 Views

In this paper we survey a wide selection of the interpolation algorithms that are in use in financial markets for construction of curves such as forward curves, basis curves, and most importantly, yield curves. In the case of yield curves we also review the issue of bootstrapping and discuss how the interpolation algorithm should be in- timately connected to the bootstrap itself.
Hidden Conditions and Coin Flip Blow Ups: Wilmott Magazine Article
Espen Haug 2757 Views

A quick look at the danger of ignoring hidden conditions in quantitative finance.

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