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Volatility Voodoo

In this article, Kent Osband discusses volatility models.

Kent Osband
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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
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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
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Building Your Wings on the Way Down

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

Aaron Brown
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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
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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
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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
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The End of Growth?

In this article published by the Wilmott magazine, former banker and author, Satyajit Das, asks if this is the end of economic growth and what a world of no, or low rates of, growth will look like.

Satyajit Das
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Potential Future Exposure Calculations Using the BGM Model

Within this paper the authors look at the BGM model in PFE calculations for various exotic interest rate products.

Wilmott
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Managing Smile Risk

In this paper, it is discovered that the dynamics of the market smile predicted by local vol models is opposite of observed market behaviour. 

Wilmott

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