Edward O. Thorp
Publications on Mathematical Finance
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Publications on Mathematical Finance

APublicIndexForListedOptions

BeatTheMarket

CanJoeGranvilleTimeTheMarket

CommonStockVolatilitiesInOptionFormulas

ConcaveUtilitiesAreDistinguishedByTheirOptimalStrategies

ExtensionsOfTheBlack-ScholesOptionModel

Abstract_HowDoesTheFortunesFormulaKellyCapitalGrowthModelPerform

     (Full article to appear in a 2011 issue of "Journal of Portfolio Management".)

IndexesForValuingListedOptions-continued

KellyCapitalGrowthCriteria

Link to above article available for purchase:

OptionsInInstitutionalPortfolios-TheoryAndPractice

OptionsOnCommodityForwardContracts

PortfolioChoiceAndTheKellyCriterion

ReducingInterestRateRisk-AReportForTheEnergyFuelsCorp

RiskArbitrageInTheNikkeiPutWarrantMarketOf1989-1990

TheCapitalGrowthModel-AnEmpiricalInvestigation

TheCostOfLiquidityServicesInListedOptions-ANote

TheKellyCriterionAndTheStockMarket

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