Skip directly to content

Open Filter

Listing Thumbnail

Investing in Thoroughbred Race Horses

Bill Ziemba discusses the horse-racing investments at the highest level: actual horse ownership, as opposed to betting on the races.

Wilmott
Listing Thumbnail

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
Listing Thumbnail

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
Listing Thumbnail

Pricing Bermudan Swaptions on the LIBOR Market Model

In this article, Stef Maree and Jacques du Toit examine using the Stochastic Grid Bundling Method to price a Bermudan swaption driven by a one-factor LIBOR Market Model.

Stef Maree & Jacques du Toit
Listing Thumbnail

Review of the For Python Quants Conference

CQF delegate Barbara Mack, shares her thoughts on the 2015 For Python Quants Conference in New York.

Barbara Mack
Listing Thumbnail

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
Listing Thumbnail

The Honest Truth about Dishonesty: Market Manipulation and Why Some Strings are More Powerful than Others

This short piece by Edward Talisse looks at the ways in which financial institutions and individuals have manipulated the market over the years and what it means for the future.

Edward Talisse
Listing Thumbnail

The Meerkat Effect: Personality and Market Returns Affect Investors’ Portfolio Monitoring Behavior

In this article the authors apply generalised non-linear mixed effects models to test for this selective information monitoring at an individual level in a new sample of active online investors.

Svetlana Gherzi et al.
Listing Thumbnail

Transformers

In this column published in Wilmott Magazine, Mike Staunton discusses the Hilbert transform. 

Wilmott

Pages