Pricing Derivatives Without Probability: The Sequel
In the previous chapter, Wilmott introduced the Epstein-Wilmott model for interest rates: no probability, just bounds on where rates can go and how fast they move. We saw how to value bonds and generate the Yield Envelope. Chapter 69 takes this framework and applies it to real portfolios and more complex derivatives. Bond options, index amortizing rate swaps, convertible bonds. The nonlinear, non-probabilistic approach handles them all.