Articles

A VaR-based Model for the Yield Curve

6th August 2018 admin 0

An intuitive model for the yield curve, based on the notion of value-at-risk, is presented. It leads to interest rates that hedge against potential losses incurred from holding an underlying risky security until maturity. This […]

Articles

Pricing Rainbow Options

23rd July 2018 admin 0

A previous paper (West 2005) tackled the issue of calculating accurate uni-, bi- and trivariate normal probabilities. This has important applications in the pricing of multiasset options, e.g. rainbow options. In this paper, we derive […]

Articles

Valuation of American Call Options

11th July 2018 admin 0

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 […]

WILMOTT Magazine

Wilmott Magazine: January 2018 issue

12th January 2018 admin 0

Volume 2018, Issue 93. Pages 1–72 Every issue we bring you original material from some of the best columnists, educators and cutting-edge researchers. Subscribe here. In this issue: Bibliography “Contents,” Wilmott, vol. 2018, iss. 93, p. […]

WILMOTT Magazine

Wilmott Magazine: November 2017 issue

26th November 2017 admin 0

Volume 2017, Issue 92. Pages 1–60 Every issue we bring you original material from some of the best columnists, educators and cutting-edge researchers. Subscribe here. In this issue: Bibliography “Contents,” Wilmott, vol. 2017, iss. 92, […]

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