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Methods for Constructing a Yield Curve
In this paper we survey a wide selection of the interpolation algorithms that are in use in financial markets for construction of curves such as forward curves, basis curves, and most importantly, yield curves.
Sun 3 Nov 2024
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.
Mon 17 Jul 2023
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.
Thu 23 Mar 2023
What Happened to Currency Fixings?
This article explores the manipulations of currency fixings and how the fixing production has been reshaped.
Tue 17 Jan 2023
Stochastic Processes in Finance - Part II
This is the second article by Jörg Kienitz on stochastic processes in finance.
Thu 21 Apr 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
Building Your Wings on the Way Down
Aaron Brown discusses financial risk in this article from Wilmott Magazine.
Tue 4 Jan 2022
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.
Thu 8 Apr 2021
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.
Tue 1 Dec 2020
