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Arbitrage-Free CMS Valuation - Watch out for the Correlations
CMS swaps (and other derivatives such as CMS caps or spread options) have become increasingly popular products in fixed-income markets. However, although a number of standard valuation formulas for CMS products exist, they very often include approximations or assumptions.
Fri 5 Mar 2021
Option Pricing and the Dirichlet Problem
Laplace’s equation is ubiquitous in physics. Yet, despite the equation’s importance in physics, it has not been important so far in finance. In this article, Joshi will relate it to options’ pricing.
Mon 8 Feb 2021
A Mathematician on Wall Street: Berkshire Hathaway
From a cigar butt to a humidor full of Havanas, courtesy of Mr Buffett with Ed Thorp.
Mon 8 Feb 2021
Stochastic Processes in Finance - Part I
This Wilmott article by Jörg Kienitz covers the key concepts of the theory of stochastic processes used in finance.
Tue 1 Dec 2020
The Irony In The Derivatives Discounting
In this Wilmott article, Marc Henrard discusses the impact on derivative pricing of changing the discounting curve.
Tue 1 Dec 2020
CSA Caps Convexity Impact on Hull & White Calibration
Papaioannou shows how modeling jointly OIS and LIBOR using one factor guassian short rate dynamics allows to capture CSA-convexity on caps and measures its impact on LIBOR volatility calibration in the Hull & White case.
Mon 26 Oct 2020
It’s the Debt, Stupid
Increasingly, Bogni feels, at least at a personal level, forced into the role of defender of financial innovation against the hordes of financial luddites. Interestingly, the turning point was not the equity-fuelled dotcom bubble at the turn of the millennium, but the debt bubble that finally burst with the Lehman Brothers debacle.
Mon 21 Sep 2020
What I Knew and When I Knew It - Part 2
Mathematician, Ed Thorp, looks back to the creation of the world's first market-neutral hedge fund and pre-empting Black-Scholes.
Tue 25 Aug 2020
Sequential Modeling of Dependent Jump Processes
In this article published by WIlmott magazine, Mai, Scherer, and Schulz present a new methodology to generalize univariate models to the multivariate case.
Mon 20 Jul 2020
Derivatives Pricing and Trading in Incomplete Markets: A Tutorial on Concepts
In this article published by the Wilmott magazine, Dennis Yang illustrates various derivative pricing notions in incomplete markets using a simple example, with emphasis on how to use these pricing concepts to make systematic trading decisions.
Mon 29 Jun 2020
