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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.

Mark S. Joshi
Mon 8 Feb 2021
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A Mathematician on Wall Street: Berkshire Hathaway

From a cigar butt to a humidor full of Havanas, courtesy of Mr Buffett with Ed Thorp.

Ed Thorp
Mon 8 Feb 2021
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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.

Jörg Kienitz
Tue 1 Dec 2020
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The Irony In The Derivatives Discounting

In this Wilmott article, Marc Henrard discusses the impact on derivative pricing of changing the discounting curve.

Marc Henrard
Tue 1 Dec 2020
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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.

Denis Papaioannou
Mon 26 Oct 2020
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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.

Rudi Bogni
Mon 21 Sep 2020
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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.

Ed Thorp
Tue 25 Aug 2020
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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.

Jan-Frederik Mai, Matthias Scherer, and Thorsten Schulz
Mon 20 Jul 2020
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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.

Dennis Yang
Mon 29 Jun 2020
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Bridge with Buffett

“Investing in a market where people believe in efficiency is like playing bridge with someone who has been told it doesn’t do any good to look at the cards.” – Warren Buffett

Ed Thorp
Fri 19 Jun 2020

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