Sorry, you need to enable JavaScript to visit this website.
Skip directly to content

Open Filter

Listing Thumbnail

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. 

Elie Ayache, Philippe Henrotte, Sonia Nassar and Xuewen Wang
Listing Thumbnail

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.

Espen G. Haug and Jorgen Haug
Listing Thumbnail

Calibration problems – An inverse problems view

In this article, Heniz W. Engl discusses the model parameters from market prices of liquid instruments.

Heinz W. Engl
Listing Thumbnail

Stochastic Processes in Finance - Part II

This is the second article by Jörg Kienitz on stochastic processes in finance.

Jörg Kienitz
Listing Thumbnail

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.

Dario Cziráky
Listing Thumbnail

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]. 

Atsushu Kawai and Peter Jäckel
Listing Thumbnail

Rootless Vol

Kent Osband discusses the Brownian motion in this Wilmott article.

Kent Osband
Listing Thumbnail

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.

Daniel J. Duffy and Joerg Kienitz
Listing Thumbnail

Building Your Wings on the Way Down

Aaron Brown discusses financial risk in this article from Wilmott Magazine.

Aaron Brown
Listing Thumbnail

Amaranthus Extermino

What does the 2006 Amaranth Advisors natural gas hedge fund disaster tell us about the state of hedge funds?

Bill Ziemba and Rachel Ziemba