Wilmott - Serving The Quantitative Finance Community

An intuitive model for the yield curve, based on the notion of value-at-risk, is presented. It leads to interest rates that hedge against potential losses incurred from holding an underlying risky security until maturity. This […]

[equilibrista]

"By the side of his chair Ed had his briefcase in which there was an algorithm for valuation and optimal exercise but he decided not to share the information with Black since it was not in the interests of Ed's investors!"

[smaeda]

In defense of the Black-Scholes-Merton model...