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Wilmott Journal is a peer-reviewed journal published by Wiley, covering Stochastic processes and financial applications, Financial Risk and Volatility Modeling, Credit Risk and Financial Regulations.
| Publisher | Wiley |
|---|---|
| Reference style | Author–year (Chicago) Author–year — (Smith, 2023) in the text Smith, Ada, Ben Jones, and Cara Lee. 2023. "A Representative Article Title." Wilmott Journal 12 (3): 45–58.
Formats any DOI in Wilmott Journal style. No sign-up. |
| Publishes research in | Stochastic processes and financial applications Financial Risk and Volatility Modeling Credit Risk and Financial Regulations Financial Markets and Investment Strategies Monetary Policy and Economic Impact |
| ISSN | 1759-6351 |
| h-index | 10 |
| i10-index | 11 |
| Total citations | 361 |
| Top institutions publishing here | The University of Melbourne |
| You get | A submission-ready PDF and the editable LaTeX source — ready to submit. |
Citations each year’s papers have accumulated so far — the most recent years are still building up.
Libor derivative pricing has changed with the crisis; Libor is no longer one unambiguous curve as a large basis has appeared between different Libor tenors. A previous approach to derivative discounting is reviewed in the light of those changes. The valuation of so-called linear derivatives, the yield curve construction and the valuation of vanilla options…
Abstract Modern Portfolio Theory (MPT) is based upon the classical Markowitz model which uses variance as a risk measure. A generalization of this approach leads to mean‐risk models, in which a return distribution is characterized by the expected value of return (desired to be large) and a “risk” value (desired to be kept small). Portfolio…
Abstract In this paper we investigate one‐factor models that extend the classical Gaussian copula model for pricing tranches of CDOs. We introduce Lévy base correlation and compare it to the classical Gaussian copula. The results of a historical study of both models on the iTraxx Europe Main dataset are presented. Our focus is on the…
Abstract We discuss the problem of pricing Asian options in the Black–Scholes model using CUDA on a graphics processing unit. We survey some of the issues with GPU programming and discuss code design and memory usage. We show that by using a Quasi Monte Carlo simulation with a geometric Asian option as a control variate,…
With short-term and seasonal variations filtered out, the data for the climate is closer to stationary, predictable for some time in the future and can be approximated with a Markov process, thus demonstrating that climate and weather time series exhibit differing characteristics. Hence, based on statistical analysis of the temperature time series, we consider an…
