Wilmott Journal
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Published By Wiley (John Wiley & Sons)

1759-636x, 1759-6351
Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Learning Options and Binomial Trees

2011 ◽  
Vol 3 (1) ◽  
pp. 1-23 ◽  
Author(s):  
Graeme Guthrie
Keyword(s):  
Binomial Trees ◽  
Learning Options

Sensible Sensitivities for the SABR Model

2011 ◽  
Vol 3 (1) ◽  
pp. 25-38
Author(s):  
Messaoud Chibane ◽  
Hong Miao ◽  
Chenghai Xu
Keyword(s):  
Sabr Model

Portfolio Optimization Under a Stressed-Beta Model

2011 ◽  
Vol 3 (1) ◽  
pp. 39-54
Author(s):  
Jean-Pierre Fouque ◽  
Adam P. Tashman
Keyword(s):  
Portfolio Optimization

Very Long-stepping in the Spot Measure of the LIBOR Market Model

2010 ◽  
Vol 2 (6) ◽  
pp. 289-299 ◽  
Author(s):  
Christopher Beveridge
Keyword(s):  
Market Model ◽  
Libor Market Model

Uncertain Correlation Model

2010 ◽  
Vol 2 (6) ◽  
pp. 317-349 ◽  
Author(s):  
Christian Kamtchueng
Keyword(s):  
Correlation Model

The Irony in Derivatives Discounting Part II: The Crisis

2010 ◽  
Vol 2 (6) ◽  
pp. 301-316 ◽  
Author(s):  
Marc Henrard

A Note on Hedging Errors in Discretely Hedged Options and Portfolios

2010 ◽  
Vol 2 (5) ◽  
pp. 261-270
Author(s):  
Yury Rojek ◽  
Paul Wilmott

Cracking the Climate Change Conundrum with Derivatives

2010 ◽  
Vol 2 (5) ◽  
pp. 271-287 ◽  
Author(s):  
Daniel Bloch ◽  
James Annan ◽  
Justin Bowles
Keyword(s):  
Climate Change

Volatility and Variance Swaps for the COGARCH(1,1) Model

2010 ◽  
Vol 2 (5) ◽  
pp. 231-246 ◽  
Author(s):  
Anatoliy Swishchuk ◽  
Matthew Couch
Keyword(s):  
Variance Swaps
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