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Can anyone solve the smile problem?
In this paper, the authors explore whether the smile problem can be solved and provide a general reflection of the problem.
Tue 31 May 2022
Knock-in/out Margrabe
In this paper, Espen G. Haug and Jorgen Haug push the Black-Scholes-Merton (BSM) formula to the limit by using it to value exchange-one-asset-for-another options with knock-in or knock-out provisions that depend on the ratio of the two asset prices.
Tue 31 May 2022
Stochastic Processes in Finance - Part II
This is the second article by Jörg Kienitz on stochastic processes in finance.
Thu 21 Apr 2022
Calibration problems – An inverse problems view
In this article, Heniz W. Engl discusses the model parameters from market prices of liquid instruments.
Thu 21 Apr 2022
Forecasting the Yield Curve with S-Plus
In this paper, Dario Cziráky, shows how to implement the Nelson-Siegel and Svensson models using non-linear least squares and how to obtain standard errors and confidence intervals for the parameters, which proves to be useful in assessing the goodness-of-fit at specific points in the term structure, such as at the events of non-parallel shifts.
Fri 4 Mar 2022
An Asymptotic FX Option Formula in the Cross Currency Libor Market Model
In this article, Atsushu Kawai and Peter Jäckel introduce analytic approximation formulae for FX options in the Libor market model (LMM). The method to derive the formulae is an asymptotic expansion technique introduced in Kawai [Kaw03].
Fri 4 Mar 2022
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
