### Can Anyone Solve The Smile Problem?

You don’t have permission to view the content

You don’t have permission to view the content

You don’t have permission to view the content

Two decades in the market have seen ITO33 firmly establish itself as the solution provider of choice for convertible bond specialists. This gold standard is delivered via Opscore, the firm’s front-office solution for pricing, hedging, […]

You don’t have permission to view the content

An American option can be exercised by its holder at any time he wishes, not just at the expiration date. Textbooks tell you that pricing it in the context of the binomial model is a […]

Professor Mark Joshi was born on 2 March 1969 and grew up in Dunblane, Scotland. He studied mathematics at, Hertford College, University of Oxford, finishing at the top of his year in 1990 and winning […]

By Nicholas G. Colon A few times in every generation a person comes along that makes a significant impact on the world. Rare or lucky are those that can do this. And then there are […]

The formalism of Black–Scholes–Merton knows of no such thing as the past or the future. When it models the stochastic process of the underlying asset price as Brownian motion and symbolizes its volatility by σ, […]

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 […]

What is the PRC? The product risk classification (PRC) is a risk indicator that is based on quantitative models. It allows us to compare the financial risk of investment products of different kinds and asset […]

© All material, including contents and design, copyright Wilmott Electronic Media Limited | Privacy | Contact us