Articles

Close Encounters Of The Third Order

The 1977 science fiction movie Close Encounters of the Third Kind was written and directed by Steven Spielberg. The title is derived from the classification by Hynek for close encounters with aliens, in which the […]

Articles

Volatility Voodoo

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 thee with […]

Articles

Rootless Vol

Even if you started out clueless about the volatility σ , given a good enough measuring stick and fast enough hands you ought to be able to measure it quickly and accurately. In practice you […]

Articles

What is Implied by Implied Volatility?

Word and concept Implied volatility is not just a word or a concept. As a word, what is implied by implied volatility – what “implied volatility” means – is the value of the Brownian diffusion […]

Articles

Introduction to Variance Swaps

The purpose of this article is to introduce the properties of variance swaps, and give insights into the hedging and valuation of these instruments from the particular lens of an option trader. Section 1 gives […]

Wilmott Inner Circle

Can Anyone Solve The Smile Problem?

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 […]