Wilmott Magazine: July 2018 issue

Volume 2018, Issue 96. Pages 1–60

 

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. 96, pp. 1-1.
    [Bibtex]
    @article{doi:10.1002/wilm.10680,
    title = {Contents},
    journal = {Wilmott},
    volume = {2018},number = {96},pages = {1-1},doi = {10.1002/wilm.10680},url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10680},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10680}}
  • [DOI] D. Tudball, “Faster than a flicker,” Wilmott, vol. 2018, iss. 96, pp. 2-3.
    [Bibtex]
    @article{doi:10.1002/wilm.10681,
    author = {Tudball, Dan},
    title = {Faster Than a Flicker},
    journal = {Wilmott},
    volume = {2018},
    number = {96},
    pages = {2-3},
    doi = {10.1002/wilm.10681},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10681},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10681},
    abstract = {Applying parametric integration using MLMC to significantly reduce the computational time for CVA calibration, such as needed for RS and for computing worst-case bounds for WWR.}}
  • [DOI] “News,” Wilmott, vol. 2018, iss. 96, pp. 4-5.
    [Bibtex]
    @article{doi:10.1002/wilm.10682,
    title = {News},
    journal = {Wilmott},
    volume = {2018},
    number = {96},
    pages = {4-5},
    doi = {10.1002/wilm.10682},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10682},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10682}}
  • [DOI] A. Brown, “Inverting the sp500,” Wilmott, vol. 2018, iss. 96, pp. 6-9.
    [Bibtex]
    @article{doi:10.1002/wilm.10683,
    author = {Brown, Aaron},
    title = {Inverting the SP500},
    journal = {Wilmott},
    volume = {2018},
    number = {96},
    pages = {6-9},
    doi = {10.1002/wilm.10683},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10683},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10683},
    abstract = {Inverse market cap weighting is a gimmick. Isn't it?}}
  • [DOI] E. G. Haug, “Philosophy of randomness: limited or unlimited randomness?,” Wilmott, vol. 2018, iss. 96, pp. 10-13.
    [Bibtex]
    @article{doi:10.1002/wilm.10684,
    author = {Haug, Espen Gaarder},
    title = {Philosophy of Randomness: Limited or Unlimited Randomness?},
    journal = {Wilmott},
    volume = {2018},
    number = {96},
    pages = {10-13},
    doi = {10.1002/wilm.10684},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10684},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10684},
    abstract = {In this short article, we will not give you the answers, but just some ideas to feed your brain and raise some questions that you can consider further on your own.}
    }
  • [DOI] S. Das, “A history of the currency wars,” Wilmott, vol. 2018, iss. 96, pp. 14-17.
    [Bibtex]
    @article{doi:10.1002/wilm.10685,
    author = {Das, Satyajit},
    title = {A History of the Currency Wars},
    journal = {Wilmott},
    volume = {2018},
    number = {96},
    pages = {14-17},
    doi = {10.1002/wilm.10685},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10685},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10685},
    abstract = {Using currencies as an economic tool suffers from the fundamental problem that it only works if one country resorts to devaluation.}
    }
  • [DOI] S. Krishnamurty, “Blockchain for business,” Wilmott, vol. 2018, iss. 96, pp. 18-19.
    [Bibtex]
    @article{doi:10.1002/wilm.10686,
    author = {Krishnamurty, Sri},
    title = {Blockchain for Business},
    journal = {Wilmott},
    volume = {2018},
    number = {96},
    pages = {18-19},
    doi = {10.1002/wilm.10686},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10686},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10686},
    abstract = {So, how do we buy some of these Blockchains for our portfolio?}
    }
  • [DOI] U. Wystup, “Structuring an inverse dual currency investment,” Wilmott, vol. 2018, iss. 96, pp. 20-21.
    [Bibtex]
    @article{doi:10.1002/wilm.10687,
    author = {Wystup, Uwe},
    title = {Structuring an Inverse Dual Currency Investment},
    journal = {Wilmott},
    volume = {2018},
    number = {96},
    pages = {20-21},
    doi = {10.1002/wilm.10687},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10687},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10687},
    abstract = {How to do it, and whether it will drive you insane}
    }
  • [DOI] R. Bogni, “Goldilocks and the three bears,” Wilmott, vol. 2018, iss. 96, pp. 22-23.
    [Bibtex]
    @article{doi:10.1002/wilm.10688,
    author = {Bogni, Rudi},
    title = {Goldilocks and the Three Bears},
    journal = {Wilmott},
    volume = {2018},
    number = {96},
    pages = {22-23},
    doi = {10.1002/wilm.10688},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10688},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10688},
    abstract = {The Goldilocks periods that my post-World War II generation enjoyed on and off might not be so frequent for the millennials and Generation Z.}
    }
  • [DOI] M. Hofer and P. Karlson, “Accelerating xva calibration using multi-level monte carlo,” Wilmott, vol. 2018, iss. 96, pp. 24-33.
    [Bibtex]
    @article{doi:10.1002/wilm.10689,
    author = {Hofer, Markus and Karlson, Patrik},
    title = {Accelerating XVA Calibration Using Multi-level Monte Carlo},
    journal = {Wilmott},
    volume = {2018},
    number = {96},
    pages = {24-33},
    doi = {10.1002/wilm.10689},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10689},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10689},
    abstract = {Patrik Karlson and Markus Hofer introduce multi-level Monte Carlo (MLMC) in the context of CVA.}
    }
  • [DOI] B. Ziemba, “The pegasus world cup ii,” Wilmott, vol. 2018, iss. 96, pp. 34-41.
    [Bibtex]
    @article{doi:10.1002/wilm.10690,
    author = {Ziemba, Bill},
    title = {The Pegasus World Cup II},
    journal = {Wilmott},
    volume = {2018},
    number = {96},
    pages = {34-41},
    doi = {10.1002/wilm.10690},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10690},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10690},
    abstract = {Of amicable ego contests and outdoing wizards}
    }
  • [DOI] R. Poulsen, “Iv leaks,” Wilmott, vol. 2018, iss. 96, pp. 42-45.
    [Bibtex]
    @article{doi:10.1002/wilm.10691,
    author = {Poulsen, Rolf},
    title = {IV Leaks},
    journal = {Wilmott},
    volume = {2018},
    number = {96},
    pages = {42-45},
    doi = {10.1002/wilm.10691},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10691},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10691},
    abstract = {The IV bit of the title means implied volatility; the connotations of the full title I leave to the reader.}
    }
  • [DOI] D. J. Duffy and M. Katajamki, “Software interoperability in computational finance, part i: foundations for applications using c++11 and c\# in the .net framework,” Wilmott, vol. 2018, iss. 96, pp. 46-53.
    [Bibtex]
    @article{doi:10.1002/wilm.10692,
    author = {Duffy, Daniel J. and Katajamki, Mikael},
    title = {Software Interoperability in Computational Finance, Part I: Foundations for Applications Using C++11 and C\# in the .NET Framework},
    journal = {Wilmott},
    volume = {2018},
    number = {96},
    pages = {46-53},
    keywords = {native C++, C#, C++/CLI, interoperable and reusable code, multi-language applications, Excel, legacy systems},
    doi = {10.1002/wilm.10692},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10692},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10692},
    abstract = {This paper is the first in a series of two papers on the design of software systems in computational finance. Both papers are concerned with applications using a combination of C++, C\#, and C++/CLI in the Microsoft .NET Framework. In this first paper we discuss how to write and reuse code that has been written using a mixture of native C++, C\#, and C++/CLI. In particular, we can call native C++ code from C\# and we can call C\# code from native C++. The language that makes this level of interoperability possible is C++/CLI.}
    }
  • [DOI] J. Healy, “Variance reduction of ordinary monte-carlo estimates with the brownian-bridge path construction,” Wilmott, vol. 2018, iss. 96, pp. 54-57.
    [Bibtex]
    @article{doi:10.1002/wilm.10693,
    author = {Healy, Jherek},
    title = {Variance Reduction of Ordinary Monte-Carlo Estimates with the Brownian-Bridge Path Construction},
    journal = {Wilmott},
    volume = {2018},
    number = {96},
    pages = {54-57},
    keywords = {quantitative finance, Sobol, Brownian-bridge, Monte Carlo, variance reduction},
    doi = {10.1002/wilm.10693},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10693},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10693},
    abstract = {It is well known that the Brownian-bridge path construction is usually very effective at reducing the variance of quasi Monte-Carlo estimates, with some exceptions  cliquet options in particular. It will however not change the variance of the value of a financial derivative contract obtained by a standard Monte-Carlo simulation, where pseudo-random numbers are used instead of quasi-random numbers (or low discrepancy sequences such as the Sobol sequence). We will see here that the Brownian-bridge path construction can still significantly reduce the variance of the Theta estimate, that is the sensitivity towards time of a financial derivative contract, even without relying on quasi-random numbers.}
    }
  • [DOI] M. Radley, “Cars,” Wilmott, vol. 2018, iss. 96, pp. 58-59.
    [Bibtex]
    @article{doi:10.1002/wilm.10694,
    author = {Radley, Milford},
    title = {Cars},
    journal = {Wilmott},
    volume = {2018},
    number = {96},
    pages = {58-59},
    doi = {10.1002/wilm.10694},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10694},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10694},
    abstract = {Lamborghini is late to a party that many thought it would never join  the launch of a sports utility vehicle. But does the Urus change everything the supercar brand stands for?}
    }
  • [DOI] J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2018, iss. 96, pp. 60-60.
    [Bibtex]
    @article{doi:10.1002/wilm.10695,
    author = {Darasz, Jan},
    title = {The skewed world of Jan Darasz},
    journal = {Wilmott},
    volume = {2018},
    number = {96},
    pages = {60-60},
    doi = {10.1002/wilm.10695},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10695},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10695}}

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