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Rootless Vol
Kent Osband discusses the Brownian motion in this Wilmott article.
Tue 1 Feb 2022
Software Frameworks in Quantitative Finance, Part I Fundamental Principles and Applications to Monte Carlo Methods
In this Wilmott article, Daniel J. Duffy and Joerg Kienitz discuss a number of ongoing efforts when developing customizable software systems and frameworks for problems in Quantitative Finance.
Tue 1 Feb 2022
Building Your Wings on the Way Down
Aaron Brown discusses financial risk in this article from Wilmott Magazine.
Tue 4 Jan 2022
Amaranthus Extermino
What does the 2006 Amaranth Advisors natural gas hedge fund disaster tell us about the state of hedge funds?
Tue 4 Jan 2022
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.
Tue 7 Dec 2021
Monte Carlo in Esperanto
This article shows how a simple parser environment in Excel/VBA could be used to perform single and multi-dimensional Monte Carlo.
Thu 4 Nov 2021
Numerical Methods for the Markov Functional Model
Some numerical methods for efficient implementation of the 1- and 2-factor Markov Functional models of interest rate derivatives are proposed.
Thu 4 Nov 2021
Order Statistics for Value at Risk Estimation and Option Pricing
We apply order statistics to the setting of VaR estimation. Here techniques like historical and Monte Carlo simulation rely on using the k-th heaviest loss to estimate the quantile of the profit and loss distribution of a portfolio of assets. We show that when the k-th heaviest loss is used the expected quantile and its error will be independent of the portfolio composition and the return functions of the assets in the portfolio.
Tue 12 Oct 2021
Pricing Rainbow Options
A previous paper (West 2005) tackled the issue of calculating accurate uni-, bi- and trivariate normal probabilities. This has important applications in the pricing of multiasset options, e.g. rainbow options. In this paper, we derive the Black—Scholes prices of several styles of (multi-asset) rainbow options using change-of-numeraire machinery. Hedging issues and deviations from the Black-Scholes pricing model are also briefly considered.
Tue 12 Oct 2021
Finformatics: How to Measure Really Small Things
The orthodoxy has tendency to ignore drift which leaves opportunity for finformaticians the market over…
Wed 15 Sep 2021
