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Wilmott Bulletin - 1st July 2008

Wilmott Bulletin
Tuesday 1st July 2008

Dear Reader,

In this Newsletter:

  • Most Popular Website Articles
  • Wilmott-Taleb Seminar - 21-22 July - London
  • New Website Article

The Team

MOST POPULAR WEBSITE ARTICLES

These are the most popular publically availabe articles on wilmott.com. (You must be logged on to access them.)

The Binomial Method Lecture Paul Wilmott & 7city
Finance Focus recording with Dominic Connor - C++ with Confidence Wilmott magazine, 7city, sponsored by d-fine - presented by Dominic Connor
Stochastic Volatility and Mean-variance Analysis Hyungsok Ahn, Paul Wilmott
Fooled by Randomness lecture Nassim Nicholas Taleb
Asian Pyramid Power Espen Haug & 7city
Volatility Forecasting, Option Trading and CrashMetrics Paul Wilmott
Managing Smile Risk: Wilmott Magazine Article Patrick S.Hagan, Deep Kumar, Andrew S.Lesniewski and Diana E.Woodward
Convexity Conundrums: Pricing CMS Swaps, Caps, and Floors* Patrick S. Hagan
Cliquet Options and Volatility Models: Wilmott Magazine Article Paul Wilmott
Equity-to-Credit: the Death of the Implied Volatility: Finance Focus - Apr 2004 Philippe Henrotte
Hedge Fund Concepts and a Typical Trade: Wilmott Magazine Article Bill Ziemba
Singular perturbation problems arising in mathematical finance: fluid dynamics concepts in option pricing. Peter W Duck - University of Manchester - Finance Focus sponsored by NAG
Can you count on your correlation matrix? : Finance Focus Nicholas J Higham: University of Manchester
The Collector - Know Your Weapon - Part 1: Wilmott Magazine Article Espen Gaarder Haug
The Scandal of Prediction: Audio podcast Nassim Nicholas Taleb (Finance Focus sponsored by d-fine)
The Nature Of Volatility Kirill Ilinski
Lyceum 17: The Central Limit Theorem Aristotle
Gambling and Investment Hedge Fund Concepts II Bill Ziemba
Lyceum 16: Another Look at Risk-neutral probabilities Aristotle
Lyceum 18: The Kelly Criterion Aristotle
Lyceum 11: Monte Carlo Simulation For Pricing Aristotle
Choosing More Accurate Binomial Tree Parameters For Valuing Equity Options Mike Staunton
A Million Dollars for Mathematics: Wilmott Magazine Article Ed Thorp
Finance Focus Recording With Elie Ayache, ITO33 - The Non-Greek Non-foundation of Derivative Pricing Wilmott magazine, 7city and sponsored by d-fine, presented by Elie Ayache of ITO33
Greeks With Monte Carlo Peter Jäckel

WILMOTT-TALEB SEMINAR - JULY 2008


DERIVATIVES TRADING, HEDGING AND VOLATILITY IN THE
REAL WORLD:
AN EXCLUSIVE TWO-DAY WORKSHOP

Past delegates say: "The best course I have ever attended," "Immensely practical," "Passionate," "New insights," "I recommend it to my friends," "The course was excellent" and "Paul and Nassim make a great team."

Course benefits:
- Two days with the two most influential derivatives practitioners
- Learn about blow ups and how to avoid them
- A focus on the wrinkles of practice by those who have most influenced applied derivatives thinking
- Restricted class size to maximize interaction and allow individual attention
- Learn from the author of Paul Wilmott on Quantitative Finance
- Meet Nassim Nicholas Taleb, author of The Black Swan

Who should attend this course
- Derivatives professionals who want an extra edge
- Risk managers who need to figure out things not in books and equations
- Experienced traders who want some perspective
- Sell-side managers who want to see where their money is at risk
- Buy-side managers who want to improve their risk/return profile

Here for course content.

Cost: £1999 + VAT.

If you want to book your place, receive further information or would like someone to give you a call to discuss discounts then email grace@wilmott.com.

Register and pay online

More details >>

NEW WEBSITE ARTICLE

Statistical Arbitrage - Part II: Wilmott Magazine Article
Ed Thorp



In the late 1970s powerful computers and high quality databases were becoming more affordable, making a revolution in Finance possible.

Subscribe to Wilmott magazine from only £195

HOT THREADS

The following are some of the hottest threads on the web's most respected and informative quantitative finance Forum

- Modelling Freight Options
- How is VIX option priced?
- Hedging Cliquets and other exotic options
- the predictive power of Hull White Interest Rate Model
- Calibration of a HW-HW-Heston Cross-Currency Model
- Why is Levenberg Marquardt so popular?
- Well-posed initial boundary value problems (PDE)
- Peak Oil or speculative bubble or both?
- Starting out in "Quant Trading" discussion
- Richardson extrapolation as described in Paul's book
- How do I implement a pointer to Function with variable arguments?
- why is quant job better than engineer job?
- Introducing Social Capital Value Add

TOP JOBS

Here is a small sample of the many quantitative finance, derivatives and risk management jobs on the Jobs Board

- Junior Quantitative Developer - Top Tier Bank, Cross Asset Derivatives - ORG2432
- Junior Financial Engineer ? Cross Asset Pricing models ? Thomson-Reuters, Geneva
- Junior Quant ? Statistics Specialist ? London Based Hedge Fund 60K ? 80K - PF591

- Senior FX Quant Analyst - Up to £250k Total Package, London - MILL981
- Snr Structurer - CDOs - Total Package to £300K+, London - MILL979
- Senior Quantitative analyst for Exotic Credit Derivatives Desk ? London - £Excellent - SJ1759
- Senior Systematic Trader ? Commodity Futures ? Small European Hedge Fund - PF589

MAIN EVENTS

Conferences, seminars and training courses, all to be found on our Events Board. Interested in an event that's not posted here? Contact events@wilmott.com and we may be able to arrange a substantial discount!

- Wilmott & Taleb Seminar - Two-day Derivatives Workshop - 21-22 July 2008 - London

MAGAZINE

Ensure that you get the latest in quant research, the best technical writing from our panel of regulars, news, views and reviews.

Subscribe for as little as £195

ADVERTISE

To advertise on wilmott.com or in our magazine, contact sales@wilmott.com. Because more people visit wilmott.com, more often and stay for longer than any other quant site we can deliver unbeatable value for money!

WEB STATS
Over 6,000 Forum posts per month
Over 50,000 members
Over 50,000 visitors every week
Over six million hits per month
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