Wilmott Magazine: March 2018 issue

Volume 2018, Issue 94. 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. 94, pp. 1-1.
    [Bibtex]
    @article {WILM:WILM10650,
    title = {Contents},
    journal = {Wilmott},
    volume = {2018},
    number = {94},
    pages = {1-1},
    doi = {10.1002/wilm.10650}
    }
  • [DOI] D. Tudball, “Gentle on my mind,” Wilmott, vol. 2018, iss. 94, pp. 2-3.
    [Bibtex]
    @article {doi:10.1002/wilm.10651,
    author = {Dan Tudball},
    title = {Gentle on My Mind},
    journal = {Wilmott},
    volume = {2018},
    number = {94},
    pages = {2-3},
    doi = {10.1002/wilm.10651},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10651},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10651},
    abstract = {Many more uses of these technologies are still untapped, and as these technologies mature, they will find more prevalent adoption in capital markets.}
    }
  • [DOI] “News,” Wilmott, vol. 2018, iss. 94, pp. 4-5.
    [Bibtex]
    @article {doi:10.1002/wilm.10652,
    title = {News},
    journal = {Wilmott},
    volume = {2018},
    number = {94},
    pages = {4-5},
    doi = {10.1002/wilm.10652},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10652},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10652}
    }
  • [DOI] A. Brown, “The bubble‐likeness of cryptocurrencies,” Wilmott, vol. 2018, iss. 94, pp. 9-9.
    [Bibtex]
    @article{doi:10.1002/wilm.10653,
    author = {Aaron Brown},
    title = {The Bubble‐Likeness of Cryptocurrencies},
    journal = {Wilmott},
    volume = {2018},
    number = {94},
    pages = {9-9},
    doi = {10.1002/wilm.10653},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10653},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10653},
    abstract = {The same investors who invest in normal markets, using the same strategies they use in normal markets, for the same motivations they have in normal markets, can cause bubbles.}
    }
  • [DOI] R. Bogni, “The lure of cryptocurrencies,” Wilmott, vol. 2018, iss. 94, pp. 10-11.
    [Bibtex]
    @article{doi:10.1002/wilm.10654,
    author = {Rudi Bogni},
    title = {The Lure of Cryptocurrencies},
    journal = {Wilmott},
    volume = {2018},
    number = {94},
    pages = {10-11},
    doi = {10.1002/wilm.10654},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10654},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10654},
    abstract = {Why is the author so skeptical about a modern form of currency competition?}
    }
  • [DOI] S. Das, “Debbie doing davos,” Wilmott, vol. 2018, iss. 94, pp. 12-13.
    [Bibtex]
    @article{doi:10.1002/wilm.10655,
    author = {Satyajit Das},
    title = {Debbie Doing Davos},
    journal = {Wilmott},
    volume = {2018},
    number = {94},
    pages = {12-13},
    doi = {10.1002/wilm.10655},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10655},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10655},
    abstract = {In reality, little of consequence ever happens at Davos. The real genius of Davos is the concept itself.}
    }
  • [DOI] B. Ziemba, “A walk into greatness,” Wilmott, vol. 2018, iss. 94, pp. 14-19.
    [Bibtex]
    @article{doi:10.1002/wilm.10656,
    author = {Bill Ziemba},
    title = {A Walk Into Greatness},
    journal = {Wilmott},
    volume = {2018},
    number = {94},
    pages = {14-19},
    doi = {10.1002/wilm.10656},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10656},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10656},
    abstract = {June 2017 visits to the Tesio Horse Stables and the Sassicaia Winery.}
    }
  • [DOI] R. Poulsen, “Binary backwards,” Wilmott, vol. 2018, iss. 94, pp. 20-21.
    [Bibtex]
    @article{doi:10.1002/wilm.10657,
    author = {Rolf Poulsen},
    title = {Binary Backwards},
    journal = {Wilmott},
    volume = {2018},
    number = {94},
    pages = {20-21},
    doi = {10.1002/wilm.10657},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10657},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10657},
    abstract = {A Twitter exchange leads to a useful discussion on option modeling. So, social media isn't all bad…}
    }
  • [DOI] U. Wystup, “Can vega of a double‐no‐touch be positive?,” Wilmott, vol. 2018, iss. 94, pp. 22-23.
    [Bibtex]
    @article{doi:10.1002/wilm.10658,
    author = {Uwe Wystup},
    title = {Can Vega of a Double‐No‐Touch Be Positive?},
    journal = {Wilmott},
    volume = {2018},
    number = {94},
    pages = {22-23},
    doi = {10.1002/wilm.10658},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10658},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10658},
    abstract = {Hint: the answer is no “No”.}
    }
  • [DOI] G. Singh, “Technology on the trading floor,” Wilmott, vol. 2018, iss. 94, pp. 24-31.
    [Bibtex]
    @article{doi:10.1002/wilm.10659,
    author = {Gagan Singh},
    title = {Technology on the Trading Floor},
    journal = {Wilmott},
    volume = {2018},
    number = {94},
    pages = {24-31},
    doi = {10.1002/wilm.10659},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10659},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10659},
    abstract = {Gagan Singh asks how artificial intelligence and machine learning can help in capital markets.}
    }
  • [DOI] B. Ziemba, “Fortune’s formula,” Wilmott, vol. 2018, iss. 94, pp. 32-37.
    [Bibtex]
    @article{doi:10.1002/wilm.10660,
    author = {Bill Ziemba},
    title = {Fortune's Formula},
    journal = {Wilmott},
    volume = {2018},
    number = {94},
    pages = {32-37},
    doi = {10.1002/wilm.10660},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10660},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10660},
    abstract = {How the pros wager using the Kelly capital growth investment criterion.}
    }
  • [DOI] T. Mazzoni, “Slicing the swaption cube,” Wilmott, vol. 2018, iss. 94, pp. 38-49.
    [Bibtex]
    @article{doi:10.1002/wilm.10661,
    author = {Thomas Mazzoni},
    title = {Slicing the Swaption Cube},
    journal = {Wilmott},
    volume = {2018},
    number = {94},
    pages = {38-49},
    keywords = {swaption cube, volatility surface, bridge process, GARCH models most likely path approximation},
    doi = {10.1002/wilm.10661},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10661},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10661},
    abstract = {In this paper, a new parametric model for the implied volatility surface of swaptions is introduced. It is based on the theoretical representation of local variance as bridge expectation of actual variance at expiry, and uses a specially tailored GARCH model to compute this expectation. The resulting model is calibrated to an extended swaption cube data example and extracts a discrete set of volatility surfaces, organized by the tenor of the underlying swap contract. The subsequent analysis indicates that the model fit is very precise and the approach is superior to currently available competing parametric models. Finally, it is shown that the new method generates more realistic dynamics than non‐parametric models, which qualifies it for hedging and risk management purposes.}
    }
  • [DOI] A. Swishchuk, “Risk model based on compound hawkes process,” Wilmott, vol. 2018, iss. 94, pp. 50-57.
    [Bibtex]
    @article{doi:10.1002/wilm.10662,
    author = {Anatoliy Swishchuk},
    title = {Risk Model Based on Compound Hawkes Process},
    journal = {Wilmott},
    volume = {2018},
    number = {94},
    pages = {50-57},
    keywords = {Hawkes process, general compound Hawkes process, risk model, net profit condition, premium principle, ruin time, ultimate ruin time, LLN, FCLT},
    doi = {10.1002/wilm.10662},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10662},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10662},
    abstract = {In this paper, we introduce a new model for the risk process based on general compound Hawkes process (GCHP) for the arrival of claims. We call it risk model based on general compound Hawkes process (RMGCHP). The Law of Large Numbers (LLN) and the Functional Central Limit Theorem (FCLT) are proved. We also study the main properties of this new risk model, net profit condition, premium principle and ruin time (including ultimate ruin time) applying the LLN and FCLT for the RMGCHP. We also present, as applications of our results, similar results for risk model based on compound Hawkes process (RMCHP) and apply them to the classical risk model based on compound Poisson process (RMCPP). It follows that all previous results for RMCHP and classical results for RMCPP follow from our results.}
    }
  • [DOI] M. Radley, “Cars,” Wilmott, vol. 2018, iss. 94, pp. 58-59.
    [Bibtex]
    @article{doi:10.1002/wilm.10663,
    author = {Milford Radley},
    title = {Cars},
    journal = {Wilmott},
    volume = {2018},
    number = {94},
    pages = {58-59},
    doi = {10.1002/wilm.10663},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10663},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10663},
    abstract = {Porsche launches its most berserk and powerful 911 ever and neatly proves its dominance as the premier sports car builder by setting a lap record with it in a place called Hell…}
    }
  • [DOI] J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2018, iss. 94, pp. 60-60.
    [Bibtex]
    @article{doi:10.1002/wilm.10664,
    author = {Jan Darasz},
    title = {The skewed world of Jan Darasz},
    journal = {Wilmott},
    volume = {2018},
    number = {94},
    pages = {60-60},
    doi = {10.1002/wilm.10664},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10664},
    eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10664}
    }

More information about Wilmott magazine, for potential subscribers and submission of articles and research papers, can be found here.

Related Posts

Wilmott Magazine: May 2018 issue Volume 2018, Issue 95. Pages 1–72 Every issue we bring you original material from some of the best columnists, educators and cutting-edge resea...
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 resea...
Wilmott Magazine: November 2017 issue Volume 2017, Issue 92. Pages 1–60 Every issue we bring you original material from some of the best columnists, educators and cutting-edge rese...
Wilmott Magazine: Sept 2017 issue Volume 2017, Issue 91. Pages 1–60 Every issue we bring you original material from some of the best columnists, educators and cutting-edge resea...
Wilmott Magazine: July 2017 issue Volume 2017, Issue 90. Pages 1–60 Every issue we bring you original material from some of the best columnists, educators and cutting-edge resea...
Wilmott Magazine: May 2017 issue Volume 2017, Issue 89. Pages 1–72 Every issue we bring you original material from some of the best columnists, educators and cutting-edge resea...
Wilmott Magazine: March 2017 issue Volume 2017, Issue 88. Pages 1–60 Every issue we bring you original material from some of the best columnists, educators and cutting-edge resea...
Wilmott Magazine: January 2017 issue Volume 2017, Issue 87. Pages 1–72 Every issue we bring you original material from some of the best columnists, educators and cutting-edge rese...