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Poker as a Lottery
Doyle Brunson, two-time winner of the World Series of Poker main event, has likened a poker tournament to a lottery in which more skilled players (like himself) hold more tickets than less skilled players. This article works out the details of this analogy and provides some very general and very important results for anyone hoping to be a winning poker player.
Thu 8 Jul 2021
Scenarios IV: Planning for Disasters and then Dealing with them
In the aftermath of Katrina, Bill Ziemba discusses planning for the economic and financial effects of natural disasters.
Tue 22 Jun 2021
Monte Carlo Methods in Quantitative Finance Generic and Efficient MC Solver in C++
This paper describes how the authors have designed and implemented a software architecture in C++ to model one-factor and multifactor option pricing problems.
Tue 22 Jun 2021
Not-so-Complex Logarithms in the Heston Model
In Heston’s stochastic volatility framework [Heston 1993], semi-analytical formulæ for plain vanilla option prices can be derived. Unfortunately, these formulæ require the evaluation of logarithms with complex arguments during the involved inverse Fourier integration step. In this article, a new approach is proposed to solve this problem which enables the use of Heston’s analytics for practically all levels of parameters and even maturities of many decades.
Fri 5 Mar 2021
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
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
The Irony in the Variance Swaps
In this article published by Wilmott magazine, Elie Ayache will propose a rereading of quantitative finance where irony, as opposed to theory, emerges as a leitmotiv, perhaps even a main guide.
Fri 29 May 2020
How the rise in data has led to a skills gap
The exponential growth in data is driving companies to look at how they can use new insights to their competitive advantage. Managing and analysing this increasing volume of data, using strategies such as AI and machine learning, has opened up significant skill gaps in the financial services sector. Which is where digital learning has a big role to play.
Tue 19 May 2020
The End of Growth?
In this article published by the Wilmott magazine, former banker and author, Satyajit Das, asks if this is the end of economic growth and what a world of no, or low rates of, growth will look like.
Tue 21 Apr 2020
