Primer On Arbitrage And Asset Pricing: Wilmott Magazine Article

Back to first principles… Leonard MacLean and Bill Ziemba

Financial decision making is typically concerned with the amount of investment capital to allocate to various assets or asset classes in various financial markets. The opportunity set can be very complex, with sets of equities, bonds, commodities, derivatives, futures, and currencies changing stochastically and dynamically over time.

 Logged-in members can download the article by clicking the link under all the “Related Posts” below. If there isn’t a link then you aren’t logged in! To log in or register visit here.

Related Posts

Six Degrees of Idiocy One of the classic works of poker, and risk management, is Herbert Yardley’s 1957 best-seller, The Education of a Poker Player, Including Where an...
Monte Carlo Methods in Quantitative Finance Generi... We describe how we have designed and implemented a software architecture in C++ to model one-factor and multifactor option pricing problems. We pa...
A Case Study on Asset Allocation in a Markowitz Wo... With a global wealth of 256 trillion USD in 2016  and with an ongoing regime of extremely low interest rates, the task of efficient asset allocati...
Derivatives Technology as a Matter of Survival How can banks survive the upcoming years? The traditional business model no longer works because: 1. Low/negative interest rates: Interest rate...
Opscore Web Service Two decades in the market have seen ITO33 firmly establish itself as the solution provider of choice for convertible bond specialists. This gold s...
American π: Piece of Cake? 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 co...
Close Encounters Of The Third Order: Wilmott Magaz... Implied volatility approximations atop the Devil's Tower - Mike Staunton The 1977 science fiction movie Close Encounters of the Third Kind was writ...
Quantifying Model Risk: Wilmott Magazine Article Issues and approaches to measure and assess model risk when building quant models. With model failures leading to some high-profile financial accid...
Primer on Arbitrage and Asset Pricing
Download Leonard and Bill's Wilmott magazine article in PDF form here. Only logged in members have access.
171024_macclean_ziemba