The Best of Wilmott 2

The Team at Wilmott is very proud to present this compilation of Wilmott magazine articles and presentations from our second year. We have selected some of the very best in cutting-edge research, and the most illuminating of our regular columns. The technical papers include state-of-the-art pricing tools and models. You'll notice there's a bias towards volatility modelling in the book. Of course, it's one of my favourite topics, but volatility is also the big unknown as far as pricing and hedging is concerned. We present research in this area from some of the best newcomers in this field. You'll see ideas that make a mockery of 'received wisdom,' ideas that are truly paradigm shattering - for we aren't content with a mere 'shift.' We know you'll enjoy it! The Best of Wilmott will return again next year...

The Team at Wilmott is very proud to present this compilation ofWilmott magazine articles and presentations from our secondyear. We have selected some of the very best in cutting-edgeresearch, and the most illuminating of our regular columns.The technical papers include state-of-the-art pricing tools andmodels. You'll notice there's a bias towards volatility modellingin the book. Of course, it's one of my favourite topics, butvolatility is also the big unknown as far as pricing and hedging isconcerned. We present research in this area from some of the bestnewcomers in this field. You'll see ideas that make a mockery of'received wisdom,' ideas that are truly paradigm shattering - forwe aren't content with a mere 'shift.'We know you'll enjoy it!The Best of Wilmott will return again next year...

Preface.Foreword (Elie Ayache).Chapter 1. Time's Up (Dan Tudball).Chapter 2. First Cause (Dan Tudball).Chapter 3. Know Your Weapon I (Espen Gaarder Haug).Chapter 4. Know Your Weapon II (Espen Gaarder Haug).Chapter 5. Take a Chance (Bill Ziemba).Chapter 6. Good and Bad Properties of the Kelly Criterion(Bill Ziemba).Chapter 7. Mathematics of Gambling and Investment (BillZiemba).Chapter 8. Efficient estimates for valuing American options(Mike Staunton).Chapter 9. The Relative Valuation of an Equity Price Index(Ruben D. Cohen).Chapter 10. What the spreadsheet said to the database, justbefore the regulator shut down the trading floor (BrianSentance).Chapter 11. Ask Marilyn and Win a Car (HenriettePrast).Chapter 12. Risk: The Ugly History (Aaron Brown).Chapter 13. Thirst for Hurst (Kent Osband).Chapter 14. TARNs: Models, Valuation, Risk Sensitivities(Vladimir V. Piterbarg).Chapter 15. Fast Valuation of a Portfolio of BarrierOptions under the Merton's Jump Diffusion Hypothesis (AntonyPenaud).Chapter 16. An Analysis of Pricing Methods for BasketsOptions. (Martin Krekel, Johan de Kock, Ralf Korn and Tin-KwaiMan).Chapter 17. Pricing CMS Spread Options and Digital CMSSpread Options with Smile (Mourad Berrahoui).Chapter 18. The Case for Time Homogeneity (PhilippeHenrotte).Chapter 19. Hybrid Stochastic Volatility Calibration(Domingo Tavella, Alexander Giese and Didier Vermeiren).Chapter 20. Can Anyone Solve the Smile Problem? (ElieAyache, Philippe Henrotte, Sonia Nassar and XuewenWang).Chapter 21. Definitive Smile Model: Part I. (Elie Ayache).Chapter 22. Definitive Smile Model: Part II. (Elie Ayache).Chapter 23. A Perfect Calibration! Now What? (WimSchoutens, Erwin Simons and Jurgen Tistaert).Chapter 24. Timing the Smile (Jean-Pierre FouqueGeorge Papanicolaou, Ronnie Sircar and Knut Sølna).Chapter 25. Inference and StochasticVolatility (Alireza Javaheri).Chapter 26. A Critique of the Crank Nicolson SchemeStrengths and Weaknesses for Financial InstrumentPricing (Daniel J. Duffy).Chapter 27. Finite Elements and Streamline Diffusion forthe Pricing of Structured Financial Instruments (Andreas Binder andAndrea Schatz).Chapter 28. No Fear of Jumps (Y. d'Halluin, D.M.Pooley and P.A. Forsyth).Index.