… Paul Wilmott’s professional career spans almost every aspect of mathematics and finance,
in both academia and in the real world. He has lectured at all levels, founded a magazine, the …

… Uniquely, Paul Wilmott writes to inform and educate his readers, to convey ideas, and, most
… Uniquely, Paul Wilmott writes to inform and educate his readers, to convey ideas, and, most …

Finance is one of the fastest growing areas in the modern banking and corporate world. This,
together with the sophistication of modern financial products, provides a rapidly growing …

Davis, Panas, and Zariphopoulou (1993) and Hodges and Neuberger (1989) have
presented a very appealing model for pricing European options in the presence of rehedging …

This paper analyzes the influence of dynamic trading strategies on the prices in financial
markets. After a thorough discussion of the modeling issues involved we derive the modification …

We derive a nonlinear parabolic partial differential equation for the value of portfolios of
options in the presence of proportional transaction costs. This assumes a Leland world of …

… of the bimonthly quant magazine Wilmott and is the Course … text Paul Wilmott Introduces
Quantitative Finance, which covers classical quant finance from the ground up, and Paul Wilmott …

In this paper we examine the statistical properties of the profit to be made from hedging vanilla
options that are mispriced by the market and/or hedged using a delta based on different …

… Paul Wilmott has undergraduate and DPhil degrees in mathematics. He has written over …
books including Paul Wilmott on Quantitative Finance, published by Wiley. Paul has extensive …

This article discusses the valuation and hedging of volatility swaps within the frame of a
GARCH(1,1) stochastic volatility model. First we use a general and flexible partial differential …