Articles

Volatility: Time and Black–Scholes–Merton

23rd April 2017 Editor 0

The formalism of Black–Scholes–Merton knows of no such thing as the past or the future. When it models the stochastic process of the underlying asset price as Brownian motion and symbolizes its volatility by σ, […]

Articles

A Market Model of Interest Rates With Dynamic Basis Spreads in the Presence of Collateral and Multiple Currencies: Wilmott Magazine Article – Masaaki Fujii, Yasufumi Shimada, and Akihiko Takahashiko Takahashi

18th July 2016 admin 0

The recent financial crisis caused dramatic widening and elevated volatilities among basis spreads in cross-currency as well as domestic interest rate markets. Furthermore, the widespread use of cash collateral, especially in fixed-income contracts, has made […]

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