Wilmott Magazine: January 2017 issue

Volume 2017, Issue 87. Pages 1–72

January 2017 Issue Cover

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. 2017, iss. 87, pp. 1-1, 2017. doi:10.1002/wilm.10554
    [BibTeX]
    @article {WILM:WILM10554,
    title = {Contents},
    journal = {Wilmott},
    volume = {2017},
    number = {87},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10554},
    doi = {10.1002/wilm.10554},
    pages = {1--1},
    year = {2017},
    }

  • D. Tudball, “Ed’s letter: the world and all creation, for a little conversation,” Wilmott, vol. 2017, iss. 87, pp. 2-3, 2017. doi:10.1002/wilm.10555
    [BibTeX] [Abstract]

    Ed is the yardstick by which everything we do is measured.

    @article {WILM:WILM10555,
    author = {Tudball, Dan},
    title = {Ed's Letter: The World and All Creation, for a Little Conversation},
    journal = {Wilmott},
    volume = {2017},
    number = {87},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10555},
    doi = {10.1002/wilm.10555},
    pages = {2--3},
    year = {2017},
    abstract = {Ed is the yardstick by which everything we do is measured.},
    }

  • “News,” Wilmott, vol. 2017, iss. 87, pp. 4-9, 2017. doi:10.1002/wilm.10556
    [BibTeX]
    @article {WILM:WILM10556,
    title = {News},
    journal = {Wilmott},
    volume = {2017},
    number = {87},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10556},
    doi = {10.1002/wilm.10556},
    pages = {4--9},
    year = {2017},
    }

  • “Order book visualization,” Wilmott, vol. 2017, iss. 87, pp. 10-13, 2017. doi:10.1002/wilm.10557
    [BibTeX] [Abstract]

    Tsachi Galanos of Bookmap describes the firm’s novel solution to order book

    @article {WILM:WILM10557,
    title = {Order Book Visualization},
    journal = {Wilmott},
    volume = {2017},
    number = {87},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10557},
    doi = {10.1002/wilm.10557},
    pages = {10--13},
    year = {2017},
    abstract = {Tsachi Galanos of Bookmap describes the firm's novel solution to order book},
    }

  • “All change,” Wilmott, vol. 2017, iss. 87, pp. 14-15, 2017. doi:10.1002/wilm.10558
    [BibTeX] [Abstract]

    Dean Tallam discusses SciComp’s outlook on technology in the quant finance space for 2017

    @article {WILM:WILM10558,
    title = {All Change},
    journal = {Wilmott},
    volume = {2017},
    number = {87},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10558},
    doi = {10.1002/wilm.10558},
    pages = {14--15},
    year = {2017},
    abstract = {Dean Tallam discusses SciComp's outlook on technology in the quant finance space for 2017},
    }

  • A. Brown, “Two, four, six, eight: everybody speculate!,” Wilmott, vol. 2017, iss. 87, pp. 16-21, 2017. doi:10.1002/wilm.10559
    [BibTeX] [Abstract]

    Speculation, Stuart Banner’s legal history of modern finance, provides deep insights that professionals would do well to explore.

    @article {WILM:WILM10559,
    author = {Brown, Aaron},
    title = {Two, Four, Six, Eight: Everybody Speculate!},
    journal = {Wilmott},
    volume = {2017},
    number = {87},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10559},
    doi = {10.1002/wilm.10559},
    pages = {16--21},
    year = {2017},
    abstract = {Speculation, Stuart Banner's legal history of modern finance, provides deep insights that professionals would do well to explore.},
    }

  • W. T. Ziemba and J. Swetye, “Using zweig’s monetary and momentum models in the modern era,” Wilmott, vol. 2017, iss. 87, pp. 22-27, 2017. doi:10.1002/wilm.10560
    [BibTeX] [Abstract]

    By William T. Ziemba with guest writer John Swetye

    @article {WILM:WILM10560,
    author = {Ziemba, William T. and Swetye, John},
    title = {Using Zweig's Monetary and Momentum Models in the Modern Era},
    journal = {Wilmott},
    volume = {2017},
    number = {87},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10560},
    doi = {10.1002/wilm.10560},
    pages = {22--27},
    year = {2017},
    abstract = {By William T. Ziemba with guest writer John Swetye},
    }

  • T. Helbing, “Economic value in the credit business: part ii,” Wilmott, vol. 2017, iss. 87, pp. 28-39, 2017. doi:10.1002/wilm.10561
    [BibTeX] [Abstract]

    In a three-part article, Tomasz Helbing presents the concept of economic value for loans and a corresponding modeling framework that doesn’t resort to direct generation of potential scenarios of future cash flows.

    @article {WILM:WILM10561,
    author = {Helbing, Tomasz},
    title = {Economic Value in the Credit Business: Part II},
    journal = {Wilmott},
    volume = {2017},
    number = {87},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10561},
    doi = {10.1002/wilm.10561},
    pages = {28--39},
    year = {2017},
    abstract = {In a three-part article, Tomasz Helbing presents the concept of economic value for loans and a corresponding modeling framework that doesn't resort to direct generation of potential scenarios of future cash flows.},
    }

  • D. Tudball, “A man for all markets,” Wilmott, vol. 2017, iss. 87, pp. 40-47, 2017. doi:10.1002/wilm.10562
    [BibTeX] [Abstract]

    In lieu of the conversation with Ed Thorp that everybody would benefit from, we finally have his autobiography, A Man for All Markets. Dan Tudball speaks to Ed about the book…

    @article {WILM:WILM10562,
    author = {Tudball, Dan},
    title = {A Man for All Markets},
    journal = {Wilmott},
    volume = {2017},
    number = {87},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10562},
    doi = {10.1002/wilm.10562},
    pages = {40--47},
    year = {2017},
    abstract = {In lieu of the conversation with Ed Thorp that everybody would benefit from, we finally have his autobiography, A Man for All Markets. Dan Tudball speaks to Ed about the book…},
    }

  • M. Staunton, “Gold medal spreads,” Wilmott, vol. 2017, iss. 87, pp. 48-49, 2017. doi:10.1002/wilm.10563
    [BibTeX] [Abstract]

    Spread options themselves are more likely to be found in energy markets but I’ve taken the liberty of linking them with the Rio Olympics, in view of Team GB’s success.

    @article {WILM:WILM10563,
    author = {Staunton, Mike},
    title = {Gold Medal Spreads},
    journal = {Wilmott},
    volume = {2017},
    number = {87},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10563},
    doi = {10.1002/wilm.10563},
    pages = {48--49},
    year = {2017},
    abstract = {Spread options themselves are more likely to be found in energy markets but I've taken the liberty of linking them with the Rio Olympics, in view of Team GB's success.},
    }

  • M. Adler, “Microservices are the new building blocks of financial technology,” Wilmott, vol. 2017, iss. 87, pp. 50-51, 2017. doi:10.1002/wilm.10564
    [BibTeX] [Abstract]

    Due to an error, the November 2016 Cover story listed the incorrect author for the Quantifi article. This Erratum corrects the authorship of this article, which was written by Marc Adler.

    @article {WILM:WILM10564,
    author = {Adler, Marc},
    title = {Microservices Are the New Building Blocks of Financial Technology},
    journal = {Wilmott},
    volume = {2017},
    number = {87},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10564},
    doi = {10.1002/wilm.10564},
    pages = {50--51},
    year = {2017},
    abstract = {Due to an error, the November 2016 Cover story listed the incorrect author for the Quantifi article. This Erratum corrects the authorship of this article, which was written by Marc Adler.},
    }

  • D. Ardia and K. Bluteau, “Stress-testing with parametric models and fully flexible probabilities,” Wilmott, vol. 2017, iss. 87, pp. 52-55, 2017. doi:10.1002/wilm.10565
    [BibTeX] [Abstract]

    We propose a simple methodology to simulate scenarios from a parametric risk model while accounting for stress-test views via fully flexible probabilities.

    @article {WILM:WILM10565,
    author = {Ardia, David and Bluteau, Keven},
    title = {Stress-Testing With Parametric Models and Fully Flexible Probabilities},
    journal = {Wilmott},
    volume = {2017},
    number = {87},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10565},
    doi = {10.1002/wilm.10565},
    pages = {52--55},
    keywords = {fully flexible probabilities, GARCH, stress-testing},
    year = {2017},
    abstract = {We propose a simple methodology to simulate scenarios from a parametric risk model while accounting for stress-test views via fully flexible probabilities.},
    }

  • F. Rolloos and M. Arslan, “Taylor-made volatility swaps,” Wilmott, vol. 2017, iss. 87, pp. 56-61, 2017. doi:10.1002/wilm.10566
    [BibTeX] [Abstract]

    Using little other than the mixing formula and Taylor expansions, we show that the volatility swap strike is approximately the implied volatility corresponding to the strike where the Black-Scholes vanna and vomma of a vanilla option are zero. As this result does not require any heavy numerical computations, and is valid for a large class of stochastic volatility models, it can be used for fast and model-free indicative pricing of volatility swaps.

    @article {WILM:WILM10566,
    author = {Rolloos, Frido and Arslan, Melih},
    title = {Taylor-Made Volatility Swaps},
    journal = {Wilmott},
    volume = {2017},
    number = {87},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10566},
    doi = {10.1002/wilm.10566},
    pages = {56--61},
    keywords = {implied volatility, volatility swaps},
    year = {2017},
    abstract = {Using little other than the mixing formula and Taylor expansions, we show that the volatility swap strike is approximately the implied volatility corresponding to the strike where the Black-Scholes vanna and vomma of a vanilla option are zero. As this result does not require any heavy numerical computations, and is valid for a large class of stochastic volatility models, it can be used for fast and model-free indicative pricing of volatility swaps.},
    }

  • R. Harris and Y. Allkofer, “A biased trial-and-error scheme for global function minimization,” Wilmott, vol. 2017, iss. 87, pp. 62-69, 2017. doi:10.1002/wilm.10567
    [BibTeX] [Abstract]

    This article describes a new approach to global optimisation which uses a utility heuristic to determine whether or not a randomly chosen point is worth evaluating. By doing so, it makes the relationship between the parameters of the algorithm and its exploration/exploitation trade-off relatively explicit with the intention that it should be easier to control than traditional algorithms in which the relationship is implicit. The heuristic in question has been designed to be noise tolerant which makes it particularly suitable for the parameterisation of stochastic processes

    @article {WILM:WILM10567,
    author = {Harris, Richard and Allkofer, Yves},
    title = {A Biased Trial-and-Error Scheme for Global Function Minimization},
    journal = {Wilmott},
    volume = {2017},
    number = {87},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10567},
    doi = {10.1002/wilm.10567},
    pages = {62--69},
    keywords = {heuristic, optimisation},
    year = {2017},
    abstract = {This article describes a new approach to global optimisation which uses a utility heuristic to determine whether or not a randomly chosen point is worth evaluating. By doing so, it makes the relationship between the parameters of the algorithm and its exploration/exploitation trade-off relatively explicit with the intention that it should be easier to control than traditional algorithms in which the relationship is implicit. The heuristic in question has been designed to be noise tolerant which makes it particularly suitable for the parameterisation of stochastic processes},
    }

  • M. Radley, “Cars,” Wilmott, vol. 2017, iss. 87, pp. 70-71, 2017. doi:10.1002/wilm.10568
    [BibTeX] [Abstract]

    Farewell to the legendary Bugatti Veyron, formerly the world’s fastest, most powerful, and most expensive hypercar. Naturally, the Chiron does everything that bit more impressively than its predecessor.

    @article {WILM:WILM10568,
    author = {Radley, Milford},
    title = {Cars},
    journal = {Wilmott},
    volume = {2017},
    number = {87},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10568},
    doi = {10.1002/wilm.10568},
    pages = {70--71},
    year = {2017},
    abstract = {Farewell to the legendary Bugatti Veyron, formerly the world's fastest, most powerful, and most expensive hypercar. Naturally, the Chiron does everything that bit more impressively than its predecessor.},
    }

  • J. Jarasz, “The skewed world of jan jarasz,” Wilmott, vol. 2017, iss. 87, pp. 72-72, 2017. doi:10.1002/wilm.10569
    [BibTeX]
    @article {WILM:WILM10569,
    author = {Jarasz, Jan},
    title = {The skewed world of Jan Jarasz},
    journal = {Wilmott},
    volume = {2017},
    number = {87},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10569},
    doi = {10.1002/wilm.10569},
    pages = {72--72},
    year = {2017},
    }

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