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SciComp Inc has been a major provider of derivatives pricing and risk models for two decades. Dean Tallam discusses the firm’s outlook on technology in the quantitative finance space for 2017 We believe financial service […]

SciComp Inc has been a major provider of derivatives pricing and risk models for two decades. Dean Tallam discusses the firm’s outlook on technology in the quantitative finance space for 2017 We believe financial service […]

How do I love thee? Let me count the ways. I love thee to the depth and breadth and height My soul can reach, when feeling out of sight. . . I love […]

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 […]

Financial computing continuously demands higher computing performance, which can no longer be accomplished by simply increasing clock speed. Cluster and grid in- frastructures grow, their cost of ownership explodes. Logged-in members can download the article […]

The paper presents an application of the Variance-Gamma distribution to price multivariate derivatives. The paper focuses on the practical implementation of the model in a multivariate setting. Several calibration procedures are discussed and applied to […]

We apply the results from the first part of the series to study several financial models and the processes used for modelling. We start with Geometric Brownian Motion and increase the complexity by adding jumps […]

A simple and fundamental question in derivatives pricing is how (contingent) cash-flows should be discounted. As cash can generally not be invested at Libor, the Libor curve is probably not the right discounting curve, even […]

This is the first of a series of articles on stochastic processes in finance. This article covers the key concepts of the theory of stochastic processes used in finance. We work out a stochastic analogue […]

We discuss a number of ongoing efforts when developing customizable software systems and frameworks for problems in Quantitative Finance. In particular, we examine the interplay between architecture, patterns and modern object-oriented and generic programming paradigms. […]

In this article, we introduce analytic approximation formulae for FX options in the Libor market model (LMM). The method to derive the formulae is an asymptotic expansion technique introduced in Kawai [Kaw03]. We first apply […]

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