I Can Show You Some Great Derivatives Models, But Can You Crunch Them Fast Enough?
Paul Wilmott, Wilmott Associates
Most valuation and risk management models for derivatives are minor tweaks of Black-Scholes. Black-Scholes is a great model, whereas some of the tweaks are a step in the wrong direction. However, there are a few models based on Black-Scholes that are closer to how derivatives are used in practice and that capture essential features previously ignored. These are great models, better than all the more classical tweaks. So far so good. The main problem stopping these models from becoming more popular is that they are just too difficult to solve numerically when you have a typical portfolio consisting of many underlyings and many different types of derivatives. Can this number-crunching problem be solved?
Recorded: 23 May 2013
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