News

SOFR Academy Appoints Alex Edmans to Panel of Advisors

London Business School Professor of Finance joins academics from Harvard University, the University of California Berkeley, New York University, the University of Oxford, and Tsinghua University, as well as experienced financial services professionals […]

Articles

The LIBOR Fix

Depending on context, the word “fix” can mean “set” or “determine,” “manipulate” or “rig,” as well as “repair” or “correct.” “In a fix” means to be in difficulty. In colloquial use, a “fix” is a […]

Articles

Forecasting the Yield Curve with S-Plus

Methods capable of forecasting the entire yield curve based on a time series extension of the Nelson-Siegel model Nelson and Siegel (1987) were suggested in the literature and compared to the non-parametric alternatives Diebold and […]

Wilmott Inner Circle

The Heston-Hull-White Model Part II: Numerics And Examples Wilmott Magazine Article – Holger Kammeyer and Jorge Kienitz

You’ve just tried to access content that is only available to WILMOTT INNER CIRCLE members! Membership of WIC is a simple, free, upgrade to ordinary membership of wilmott.com. All we need is a bit more personal […]

Wilmott Inner Circle

Stochastic Interest Rates for Local Volatility Hybrid Models: Wilmott Magazine Article – E. Benhamou, A. Gruz and A. Rivoira

You’ve just tried to access content that is only available to WILMOTT INNER CIRCLE members! Membership of WIC is a simple, free, upgrade to ordinary membership of wilmott.com. All we need is a bit more personal […]