Gambler’s Ruin: Wilmott Magazine Article

Ruination leads to enlightenment; tough, but true – Aaron Brown

The term “gambler’s ruin” is used fora number of statistical ideas whose common denominator is predicting the eventual outcome of a series of repeated bets. There are some beautiful and counterintuitive results in which bets that seem unappealing individually lead inevitably to good outcomes, and bets that seem too attractive to refuse, lead just as inexorably to disaster.

 Logged-in members can download the article by clicking the link under all the “Related Posts” below. If there isn’t a link then you aren’t logged in! To log in or register visit here.

Related Posts

A VaR-based Model for the Yield Curve An intuitive model for the yield curve, based on the notion of value-at-risk, is presented. It leads to interest rates that hedge against potentia...
Pricing Rainbow Options A previous paper (West 2005) tackled the issue of calculating accurate uni-, bi- and trivariate normal probabilities. This has important applicati...
Valuation of American Call Options The purpose of this paper is to provide an analytical solution for American call options assuming proportional dividends. Proportional dividends are m...
Life Settlements and Viaticals In this chapter… • life • sex • death 1 Introduction And now for something completely. . .morbid. Life settlements and viaticals are contra...
Calibration problems – An inverse problems v... When pricing structured or derivative financial instruments, the typical steps a quant has to do are the following: 1. Choose a model for the m...
Practical Valuation of Power Derivatives In this paper I look at the practical valuation of power derivatives from a trader’s perspective. Most people that have written about valuation of pow...
What is Implied by Implied Volatility? Word and concept Implied volatility is not just a word or a concept. As a word, what is implied by implied volatility – what “implied volatili...
Big Time Series Analysis with JuliaDB The next generation of data analysis requires the next generation of tools. The most popular opensource packages for data analysis (Python’s pandas an...
170922_brown-2