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The Financial Heat Machine: Coupling With the Present Financial Crises

In this article, the author considers dynamics of financial markets as dynamics of expectations of people acting on them and discusses it from the point of view of phenomenological thermodynamics.

Andrei Khrennikov
Mon 17 Jul 2023
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The Fed Isn’t Federal – And Other Odd Things in Finance

In this paper, Rolf Poulson gives notice to misunderstandings in quantitative finance that range from amusing to genuine obstacles.

Rolf Poulsen
Thu 23 Mar 2023
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What Happened to Currency Fixings?

This article explores the manipulations of currency fixings and how the fixing production has been reshaped.

Uwe Wystup
Tue 17 Jan 2023
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Volatility Voodoo

In this article, Kent Osband discusses volatility models.

Kent Osband
Tue 31 May 2022
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Stochastic Processes in Finance - Part II

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

Jörg Kienitz
Thu 21 Apr 2022
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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
Fri 4 Mar 2022
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Building Your Wings on the Way Down

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

Aaron Brown
Tue 4 Jan 2022
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A Generalised Procedure for Locating the Optimal Capital Structure

This article presents a generalisation of an earlier approach for determining and locating the optimal capital structure of a corporate firm. 

Ruben D. Cohen
Thu 8 Apr 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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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