The purpose of this paper is to provide an analytical solution for American call options assuming proportional dividends. Proportional dividends are more realistic for long-term options than absolute dividends and the formula does not have […]
This is taken from the Second Edition of Paul Wilmott On Quantitative Finance, published by John Wiley & Sons 2006. Logged-in members can download the article by clicking the link below. To log in or […]
The purpose of this article is to introduce the properties of variance swaps, and give insights into the hedging and valuation of these instruments from the particular lens of an option trader. Logged-in members can […]
The Tobin (or Robin Hood) Tax was proposed decades ago by the eponymous Nobel Laureate (that’s James Tobin, not Robin Hood) as a means of stabilizing currencies via a small tax on all transactions. Every […]
(A version of this was first published on Bloomberg.com on May 24, 2011.) One of the supposed silver linings of our recent economic disaster was the idea that we finally understood how hazardous our exotic […]
In this paper I look at the practical valuation of power derivatives from a trader’s perspective. Most people that have written about valuation of power derivatives are academics or quants working in the research departments […]
From a cigar butt to a humidor full of Havanas, courtesy of Mr Buffett. Logged-in members can download the article by clicking the link below. To log in or register visit here.
Driven by a competitive market and motivated by the new Basel Capital Accord (Basel II), banks have put a lot of effort into development and improvement of their methods to assess the creditworthiness of their […]
Elie Ayache begins a new series taking his hammer to some cherished concepts. Logged-in members can download the article by clicking the link below. To log in or register visit here.