Articles

American π: Piece of Cake?

13th November 2017 Editor 0

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 […]

News

In Memoriam: Professor Mark Joshi

8th November 2017 Editor 0

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 […]

Paul's Blog

Where Do You Keep Your Offshore Money?

7th November 2017 Paul 0

Where do you keep your offshore money? The media is all upset about celebs, politicians, etc. having money in various offshore places, in order to avoid taxes. Naturally, and totally expectedly, this is very hypocritical […]

WILMOTT Magazine

Wilmott Magazine: Sept 2017 issue

24th September 2017 admin 0

Volume 2017, Issue 91. Pages 1–60 Every issue we bring you original material from some of the best columnists, educators and cutting-edge researchers. In this issue: Bibliography “Contents,” Wilmott, vol. 2017, iss. 91, pp. 1-1, […]

Articles

Quantifying Model Risk: Wilmott Magazine Article

24th September 2017 admin 0

Issues and approaches to measure and assess model risk when building quant models. With model failures leading to some high-profile financial accidents in the past few years, there has been a renewed emphasis to systematically […]

Articles

Gambler’s Ruin: Wilmott Magazine Article

22nd September 2017 admin 0

Ruination leads to enlightenment; tough, but true – Aaron Brown The term “gambler’s ruin” is used fora number of statistical ideas whose common denominator is predicting the eventual outcome of a series of repeated bets. […]

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