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Wilmott, Paul (contributor)

Persistent link: https://www.econbiz.de/10004803591

Pricing and Hedging Convertible Bonds under Non-Probabilistic Interest Rates

Epstein, David; Haber, Richard; Wilmott, Paul - In: The journal of derivatives : the official publication … 7 (2000) 4, pp. 31-40

Persistent link: https://www.econbiz.de/10005958403

An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs

Whalley, A.E.; Wilmott, Paul - In: Mathematical finance : an international journal of … 7 (1997) 3, pp. 307

Persistent link: https://www.econbiz.de/10008219932

Partial to the exotic

Dewynne, Jeff; Wilmott, Paul - In: Risk : managing risk in the world's financial markets (1998), pp. 23

Persistent link: https://www.econbiz.de/10007061090

BREAKING UP IS HARD TO DO

Hua, Philip; Wilmott, Paul - In: Risk : managing risk in the world's financial markets 11 (1998) 9, pp. 126-130

Persistent link: https://www.econbiz.de/10007061308

CRASH COURSES - Reducing VAR by modelling the effect of a market crash on a portfolio.

Hua, Philip; Wilmott, Paul - In: Risk : managing risk in the world's financial markets 10 (1997) 6, pp. 64-68

Persistent link: https://www.econbiz.de/10007069510

Mathematical models in finance

Howison, Sam (contributor); Howison, Sam (ed.); … - 1995 - 1. ed.

Persistent link: https://www.econbiz.de/10013487871

How good is Black-Scholes-Merton, really?

Wilmott, Paul - In: Options - 45 years since the publication of the …, (pp. 17-27). 2023

Persistent link: https://www.econbiz.de/10014366584

Various passport options and their valuation

Ahn, Hyungsok; Penaud, Antony; Wilmott, Paul - In: Applied Mathematical Finance 6 (1999) 4, pp. 275-292

The passport option is a call option on the balance of a trading account. The option holder retains the gain from trading, while the writer is liable for the loss. Multi-asset passport options and passport options with discrete constraints are studied. For the first ones the pricing equations...

Persistent link: https://www.econbiz.de/10005462499

On Trading American Options

Ahn, Hyungsok; Wilmott, Paul - Finance Research Centre, Oxford University - 1999

This paper proves that the optimal exercise time for the holder of an American option depends upon the physical drift of the underlying asset and the utility of the option holder. We illustrate our results by applying them to several families of utility functions, namely the CARA, the HARA, and...

Persistent link: https://www.econbiz.de/10005509809