Articles

A Market Model of Interest Rates With Dynamic Basis Spreads in the Presence of Collateral and Multiple Currencies: Wilmott Magazine Article – Masaaki Fujii, Yasufumi Shimada, and Akihiko Takahashiko Takahashi

18th July 2016 admin 0

The recent financial crisis caused dramatic widening and elevated volatilities among basis spreads in cross-currency as well as domestic interest rate markets. Furthermore, the widespread use of cash collateral, especially in fixed-income contracts, has made […]

Articles

Wilmott Quantitative Finance Technology User Survey

21st June 2016 admin 0

Functioning at the intersection between science and commerce, Quantitative Finance practitioners are integral to the development, adoption and standardization of technology throughout the finance industry. In the aftermath of the global financial crisis, the painful […]

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