Doyle Brunson1, two-time winner of the World Series of Poker main event, has likened a poker tournament to a lottery in which more skilled players (like himself) hold more tickets than less skilled players (like […]
7city hosted a Finance Focus Session with MathWorks, developers of MATLAB: Parallel Computing and GPUs on Wednesday October 3rd 2012. It was presented by Jos Martin and Ben Tordoff. https://forum.wilmott.com/videos/CQF_Alumni_HB_UK_Parallel_Computing_and_GPUs_Jos_Martin_and_Ben_Tordoff_Part01.mp4 https://forum.wilmott.com/videos/CQF_Alumni_HB_UK_Parallel_Computing_and_GPUs_Jos_Martin_and_Ben_Tordoff_Part02.mp4
Laplace’s equation is ubiquitous in physics: it arises in the study of many areas such as electromagnetism, gravity and fluid dynamics since it can be used to describe the behaviour of electric, gravitational and fluid […]
In an effort to improve credit risk management, financial institutions have developed various measures to manage their exposure to counterparty risk. One important measure of counterparty risk is potential future exposure (PFE), which is a […]
The orthodoxy has tendency to ignore drift which leaves opportunity for finformaticians the market over… Logged-in members can download the article by clicking the link below. To log in or register visit here.
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 […]
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 […]
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 […]