Wilmott Magazine: January 2016 issue

Volume 2016, Issue 81. Pages 1–72
Screen Shot 2016-06-05 at 16.49.43

Every issue we bring you original material from some of the best columnists, educators and cutting-edge researchers. In this issue:

Bibliography

  • “Contents,” Wilmott, vol. 2016, iss. 81, p. 1–1, 2016. doi:10.1002/wilm.10466
    [BibTeX] [Download PDF]
    @article {WILM:WILM10466,
    title = {Contents},
    journal = {Wilmott},
    volume = {2016},
    number = {81},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10466},
    doi = {10.1002/wilm.10466},
    pages = {1--1},
    year = {2016},
    }

  • D. Tudball, “Ed’s letter: come rain or come shine,” Wilmott, vol. 2016, iss. 81, p. 2–3, 2016. doi:10.1002/wilm.10467
    [BibTeX] [Abstract] [Download PDF]

    Invested parties can then properly analyze climate risk and provide a financial mechanism which can be operated globally or locally, from regions to municipalities or cities.

    @article {WILM:WILM10467,
    author = {Tudball, Dan},
    title = {Ed's Letter: Come Rain or Come Shine},
    journal = {Wilmott},
    volume = {2016},
    number = {81},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10467},
    doi = {10.1002/wilm.10467},
    pages = {2--3},
    year = {2016},
    abstract = {Invested parties can then properly analyze climate risk and provide a financial mechanism which can be operated globally or locally, from regions to municipalities or cities.},
    }

  • “News,” Wilmott, vol. 2016, iss. 81, p. 4–11, 2016. doi:10.1002/wilm.10468
    [BibTeX] [Download PDF]
    @article {WILM:WILM10468,
    title = {News},
    journal = {Wilmott},
    volume = {2016},
    number = {81},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10468},
    doi = {10.1002/wilm.10468},
    pages = {4--11},
    year = {2016},
    }

  • A. Brown, “The deep end of the pool,” Wilmott, vol. 2016, iss. 81, p. 12–15, 2016. doi:10.1002/wilm.10469
    [BibTeX] [Abstract] [Download PDF]

    Taking a dip was never a simple thing to do …

    @article {WILM:WILM10469,
    author = {Brown, Aaron},
    title = {The Deep End of the Pool},
    journal = {Wilmott},
    volume = {2016},
    number = {81},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10469},
    doi = {10.1002/wilm.10469},
    pages = {12--15},
    year = {2016},
    abstract = {Taking a dip was never a simple thing to do …},
    }

  • S. Das, “Europe’s greek fallout,” Wilmott, vol. 2016, iss. 81, p. 16–21, 2016. doi:10.1002/wilm.10470
    [BibTeX] [Abstract] [Download PDF]

    Winston Churchill understood that the Balkans produce more history than they can consume. Whatever the outcome in Greece, it will have major ramifications for Europe and beyond.

    @article {WILM:WILM10470,
    author = {Das, Satyajit},
    title = {Europe's Greek Fallout},
    journal = {Wilmott},
    volume = {2016},
    number = {81},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10470},
    doi = {10.1002/wilm.10470},
    pages = {16--21},
    year = {2016},
    abstract = {Winston Churchill understood that the Balkans produce more history than they can consume. Whatever the outcome in Greece, it will have major ramifications for Europe and beyond.},
    }

  • L. C. MacLean and W. T. Ziemba, “Primer on static portfolio theory,” Wilmott, vol. 2016, iss. 81, p. 22–27, 2016. doi:10.1002/wilm.10471
    [BibTeX] [Abstract] [Download PDF]

    Be the MVP with MVA.

    @article {WILM:WILM10471,
    author = {MacLean, Leonard C. and Ziemba, William T.},
    title = {Primer on Static Portfolio Theory},
    journal = {Wilmott},
    volume = {2016},
    number = {81},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10471},
    doi = {10.1002/wilm.10471},
    pages = {22--27},
    year = {2016},
    abstract = {Be the MVP with MVA.},
    }

  • D. Bloch, “Hedging climate risk: a global and local solution,” Wilmott, vol. 2016, iss. 81, p. 28–51, 2016. doi:10.1002/wilm.10472
    [BibTeX] [Abstract] [Download PDF]

    Of the top ten costliest weather years, seven have occurred since 2000, with the costliest year in 2005.

    @article {WILM:WILM10472,
    author = {Bloch, Daniel},
    title = {Hedging Climate Risk: A Global and Local Solution},
    journal = {Wilmott},
    volume = {2016},
    number = {81},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10472},
    doi = {10.1002/wilm.10472},
    pages = {28--51},
    year = {2016},
    abstract = {Of the top ten costliest weather years, seven have occurred since 2000, with the costliest year in 2005.},
    }

  • D. Ardia and J. Kolly, “Predicting market risk with density combination: an introduction,” Wilmott, vol. 2016, iss. 81, p. 52–57, 2016. doi:10.1002/wilm.10473
    [BibTeX] [Abstract] [Download PDF]

    Density forecast combination is a useful tool for risk managers to reduce model risk. We present up-to-date methodologies in the field, discuss key issues, and provide some illustrations.

    @article {WILM:WILM10473,
    author = {Ardia, David and Kolly, Jeremy},
    title = {Predicting Market Risk with Density Combination: An Introduction},
    journal = {Wilmott},
    volume = {2016},
    number = {81},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10473},
    doi = {10.1002/wilm.10473},
    pages = {52--57},
    keywords = {density forecast combination, censoring, incomplete model set, risk model contribution, skew Student-t distribution, pool risk forecasts },
    year = {2016},
    abstract = {Density forecast combination is a useful tool for risk managers to reduce model risk. We present up-to-date methodologies in the field, discuss key issues, and provide some illustrations.},
    }

  • Z. Kakushadze, “Coping with negative short rates,” Wilmott, vol. 2016, iss. 81, p. 58–69, 2016. doi:10.1002/wilm.10474
    [BibTeX] [Abstract] [Download PDF]

    We discuss a simple extension of the Ho and Lee model with generic time-dependent drift in which: (1) we compute bond prices analytically; (2) the yield curve is sensible and the asymptotic yield is positive; and (3) our analytical solution provides a clean and simple way of separating volatility from the drift in the short-rate process. Our extension amounts to introducing one or two reflecting barriers for the underlying Brownian motion (as opposed to the short rate), which allows us to have more realistic time-dependent drift (as opposed to constant drift). In our model the spectrum – or, roughly, the set of short-rate values contributing to bond and other claim prices – is discrete and positive. We discuss how to calibrate our model using empirical yield data by fitting three parameters and then reading off the time-dependent drift.

    @article {WILM:WILM10474,
    author = {Kakushadze, Zura},
    title = {Coping With Negative Short Rates},
    journal = {Wilmott},
    volume = {2016},
    number = {81},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10474},
    doi = {10.1002/wilm.10474},
    pages = {58--69},
    keywords = {short-rate models, Ho and Lee model, bond prices, reflecting barriers, Brownian motion, yield},
    year = {2016},
    abstract = {We discuss a simple extension of the Ho and Lee model with generic time-dependent drift in which: (1) we compute bond prices analytically; (2) the yield curve is sensible and the asymptotic yield is positive; and (3) our analytical solution provides a clean and simple way of separating volatility from the drift in the short-rate process. Our extension amounts to introducing one or two reflecting barriers for the underlying Brownian motion (as opposed to the short rate), which allows us to have more realistic time-dependent drift (as opposed to constant drift). In our model the spectrum – or, roughly, the set of short-rate values contributing to bond and other claim prices – is discrete and positive. We discuss how to calibrate our model using empirical yield data by fitting three parameters and then reading off the time-dependent drift.},
    }

  • M. Radley, “Cars,” Wilmott, vol. 2016, iss. 81, p. 70–71, 2016. doi:10.1002/wilm.10475
    [BibTeX] [Abstract] [Download PDF]

    It’s all change for Ferrari, with a new turbocharged sports coup that signals a seismic move in technological direction for the engineers at Maranelloa.

    @article {WILM:WILM10475,
    author = {Radley, Milford},
    title = {Cars},
    journal = {Wilmott},
    volume = {2016},
    number = {81},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10475},
    doi = {10.1002/wilm.10475},
    pages = {70--71},
    year = {2016},
    abstract = {It's all change for Ferrari, with a new turbocharged sports coup that signals a seismic move in technological direction for the engineers at Maranelloa.},
    }

  • J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2016, iss. 81, p. 72–72, 2016. doi:10.1002/wilm.10476
    [BibTeX] [Download PDF]
    @article {WILM:WILM10476,
    author = {Darasz, Jan},
    title = {The skewed world of Jan Darasz},
    journal = {Wilmott},
    volume = {2016},
    number = {81},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10476},
    doi = {10.1002/wilm.10476},
    pages = {72--72},
    year = {2016},
    }

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