Wilmott Magazine: January 2018 issue

Volume 2018, Issue 93. Pages 1–72

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

In this issue:

Bibliography

  • [DOI] “Contents,” Wilmott, vol. 2018, iss. 93, p. 1–1, 2018.
    [Bibtex]
    @article {WILM:WILM10636,
    title = {Contents},
    journal = {Wilmott},
    volume = {2018},
    number = {93},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10636},
    doi = {10.1002/wilm.10636},
    pages = {1--1},
    year = {2018},
    }
  • [DOI] D. Tudball, “As time goes by,” Wilmott, vol. 2018, iss. 93, p. 2–3, 2018.
    [Bibtex]
    @article {WILM:WILM10637,
    author = {Tudball, Dan},
    title = {As Time Goes By},
    journal = {Wilmott},
    volume = {2018},
    number = {93},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10637},
    doi = {10.1002/wilm.10637},
    pages = {2--3},
    year = {2018},
    abstract = {The analysis derives a set of constant coefficients, and shows that the implied volatility smiles are the same with the time-dependent coefficients replaced by these constant coefficients.},
    }
  • [DOI] “News,” Wilmott, vol. 2018, iss. 93, p. 4–7, 2018.
    [Bibtex]
    @article {WILM:WILM10638,
    title = {News},
    journal = {Wilmott},
    volume = {2018},
    number = {93},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10638},
    doi = {10.1002/wilm.10638},
    pages = {4--7},
    year = {2018},
    }
  • [DOI] A. Brown, “The road less traveled by to serfdom,” Wilmott, vol. 2018, iss. 93, p. 8–11, 2018.
    [Bibtex]
    @article {WILM:WILM10639,
    author = {Brown, Aaron},
    title = {The Road Less Traveled by to Serfdom},
    journal = {Wilmott},
    volume = {2018},
    number = {93},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10639},
    doi = {10.1002/wilm.10639},
    pages = {8--11},
    year = {2018},
    abstract = {Does passive index ownership accomplish Hayek's vision for government?},
    }
  • [DOI] R. Bogni, “Pricing, mispricing, and (un)intended consequences,” Wilmott, vol. 2018, iss. 93, p. 12–13, 2018.
    [Bibtex]
    @article {WILM:WILM10640,
    author = {Bogni, Rudi},
    title = {Pricing, Mispricing, and (Un)Intended Consequences},
    journal = {Wilmott},
    volume = {2018},
    number = {93},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10640},
    doi = {10.1002/wilm.10640},
    pages = {12--13},
    year = {2018},
    abstract = {Productivity and profits in the future must be achieved by re-skilling jobes, not de-skilling them.},
    }
  • [DOI] S. Das, “Sharing economy,” Wilmott, vol. 2018, iss. 93, p. 14–17, 2018.
    [Bibtex]
    @article {WILM:WILM10641,
    author = {Das, Satyajit},
    title = {Sharing Economy},
    journal = {Wilmott},
    volume = {2018},
    number = {93},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10641},
    doi = {10.1002/wilm.10641},
    pages = {14--17},
    year = {2018},
    abstract = {How to reverse progress in labor markets and weaken economic consumption with a single tap.},
    }
  • [DOI] L. MacLean and B. Ziemba, “Sports statistics ii – analytics,” Wilmott, vol. 2018, iss. 93, p. 18–23, 2018.
    [Bibtex]
    @article {WILM:WILM10642,
    author = {MacLean, Leonard and Ziemba, Bill},
    title = {Sports Statistics II – Analytics},
    journal = {Wilmott},
    volume = {2018},
    number = {93},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10642},
    doi = {10.1002/wilm.10642},
    pages = {18--23},
    year = {2018},
    abstract = {Discussing ideas in Sport Analytics including those of the late, and prescient, Professor Tom Cover.},
    }
  • [DOI] P. S. Hagan, A. S. Lesniewski, and D. E. Woodward, “Managing vol surfaces,” Wilmott, vol. 2018, iss. 93, p. 24–43, 2018.
    [Bibtex]
    @article {WILM:WILM10643,
    author = {Hagan, Patrick S. and Lesniewski, Andrew S. and Woodward, Diana E.},
    title = {Managing Vol Surfaces},
    journal = {Wilmott},
    volume = {2018},
    number = {93},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10643},
    doi = {10.1002/wilm.10643},
    pages = {24--43},
    year = {2018},
    abstract = {In “The SABR Chronicles,” Patrick S. Hagan charts the development of the model from its inception as an introduction to “Managing Vol Surfaces” by Patrick S. Hagan, Andrew S. Lesniewski, and Diana E. Woodward.},
    }
  • [DOI] U. Wystup, “What happened to currency fixings?,” Wilmott, vol. 2018, iss. 93, p. 44–45, 2018.
    [Bibtex]
    @article {WILM:WILM10644,
    author = {Wystup, Uwe},
    title = {What Happened to Currency Fixings?},
    journal = {Wilmott},
    volume = {2018},
    number = {93},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10644},
    doi = {10.1002/wilm.10644},
    pages = {44--45},
    year = {2018},
    abstract = {Now that manipulations of currency fixings have been examined and many fines have been paid, let us recap how the fixing production has been reshaped.},
    }
  • [DOI] P. S. Hagan, A. S. Lesniewski, and D. E. Woodward, “Effective media analysis for stochastic volatility models,” Wilmott, vol. 2018, iss. 93, p. 46–55, 2018.
    [Bibtex]
    @article {WILM:WILM10645,
    author = {Hagan, Patrick S. and Lesniewski, Andrew S. and Woodward, Diana E.},
    title = {Effective Media Analysis for Stochastic Volatility Models},
    journal = {Wilmott},
    volume = {2018},
    number = {93},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10645},
    doi = {10.1002/wilm.10645},
    pages = {46--55},
    keywords = {volatility surface, SABR, derivatives, smile, stochastic volatility, effective media},
    year = {2018},
    abstract = {Analysis of the standard SABR model leads to an effective forward equation which has time-independent coefficients, and analysis of this reduced-dimensionality equation leads to explicit asymptotic formulas for the implied normal volatilities of European options. These formulas are accurate to within O(ε2), and are used extensively in practice for pricing and managing the risks of European options. A recent analysis of the dynamic SABR model leads to an identical effective forward equation, except that the coefficients are time-dependent. Here we use singular perturbation methods to analyze this new equation. For each exercise date Tex, we derive a set of constant coefficients. Replacing the time-dependent coefficients with the constant coefficients, and solving the effective forward equation, yields the correct probability density function – and thus the correct European option values – to within O(ε2). These constant coefficients now let us apply the existing analysis to obtain explicit asymptotic formulas for the mplied volatilities of European options, accurate to within O(ε2), for the dynamic SABR model. Current analyses of several other stochastic volatility models, including the -SABR and generalized Heston models, also yield identical effective forward equations with time-dependent coefficients. Therefore, the implied volatilities for these models are also given by the SABR implied volatility formulas.},
    }
  • [DOI] A. Rej, P. Seager, and J. Bouchaud, “You are in a drawdown. when should you start worrying?,” Wilmott, vol. 2018, iss. 93, p. 56–59, 2018.
    [Bibtex]
    @article {WILM:WILM10646,
    author = {Rej, Adam and Seager, Philip and Bouchaud, Jean-Philippe},
    title = {You Are in a Drawdown. When Should You Start Worrying?},
    journal = {Wilmott},
    volume = {2018},
    number = {93},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10646},
    doi = {10.1002/wilm.10646},
    pages = {56--59},
    keywords = {drawdowns, Sharpe ratio, portfolio management},
    year = {2018},
    abstract = {Trading strategies that were profitable in the past often degrade with time. Since unlucky streaks can also hit “healthy” strategies, how can one detect that something truly worrying is happening? It is intuitive that a drawdown that lasts too long or one that is too deep should lead to a downward revision of the assumed Sharpe ratio of the strategy. In this note, we give a quantitative answer to this question based on the exact probability distributions for the length and depth of the last drawdown for upward drifting Brownian motions. We also point out that both managers and investors tend to underestimate the length and depth of drawdowns consistent with the Sharpe ratio of the underlying strategy.},
    }
  • [DOI] D. J. Duffy, “Beyond object-orientation: c++ application design for computational finance – a defined process from problem to parallel code,” Wilmott, vol. 2018, iss. 93, p. 60–69, 2018.
    [Bibtex]
    @article {WILM:WILM10647,
    author = {Duffy, Daniel J.},
    title = {Beyond Object-Orientation: C++ Application Design for Computational Finance – A Defined Process from Problem to Parallel Code},
    journal = {Wilmott},
    volume = {2018},
    number = {93},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10647},
    doi = {10.1002/wilm.10647},
    pages = {60--69},
    keywords = {computational finance, Monte Carlo simulation, system decomposition, C++11, concurrent and parallel software systems, “how to solve it” (Pólya), reasoning by analogy},
    year = {2018},
    abstract = {In this article we introduce a defined and repeatable process to analyze, design, and implement software systems using a combination of techniques taken from Structured Analysis and the object-oriented programming style. We use top-down system decomposition and bottom-up programming techniques to create software systems. We also show how to leverage the new multi-paradigm features in C++ to promote maintainability and extendibility of the resulting code, and how to integrate C++ multi-threading and multi-tasking libraries with our model. As an example to reduce the scope, we introduce a model for Monte Carlo option pricing that we design and realize using several different language features in C++. The steps in the transformation from problem description to code are applicable to other kinds of system (for example, PDE and risk applications), as well as other programming languages (for example, C#). This article represents a continuation of the work in Duffy (2017), Duffy and Palley (2017), and Wilmott, Lewis, and Duffy (2014).},
    }
  • [DOI] M. Radley, “Cars,” Wilmott, vol. 2018, iss. 93, p. 70–71, 2018.
    [Bibtex]
    @article {WILM:WILM10648,
    author = {Radley, Milford},
    title = {Cars},
    journal = {Wilmott},
    volume = {2018},
    number = {93},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10648},
    doi = {10.1002/wilm.10648},
    pages = {70--71},
    year = {2018},
    abstract = {The most radical AMG ever built could be yours by 2019 – but you'll need to get your order in now, along with a check for around $2.7 million, or miss out on a stunning powerhouse plugin electric hybrid that redefines automotive technology.},
    }
  • [DOI] J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2018, iss. 93, p. 72–72, 2018.
    [Bibtex]
    @article {WILM:WILM10649,
    author = {Darasz, Jan},
    title = {The skewed world of Jan Darasz},
    journal = {Wilmott},
    volume = {2018},
    number = {93},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10649},
    doi = {10.1002/wilm.10649},
    pages = {72--72},
    year = {2018},
    }

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