@article{WILM:WILM12218,

title = {It Ain't Over 'til It's Over},

author = {Aaron Brown},

url = {https://wilmott.com/mp-files/wilmott-magazine-march-2026-brown},

doi = {10.54946/wilm.12218},

issn = {1541-8286},

year  = {2026},

date = {2026-03-01},

journal = {Wilmott},

volume = {2026},

number = {142},

publisher = {Wilmott Magazine, Ltd},

abstract = {Would choosing to receive the ball first give a team a winning edge in the NFL's new overtime format?},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12219,

title = {Can I Have my Money Back, Part Two},

author = {Rolf Poulsen},

url = {https://wilmott.com/mp-files/wilmott-magazine-march-2026-poulsen},

doi = {10.54946/wilm.12219},

issn = {1541-8286},

year  = {2026},

date = {2026-03-01},

journal = {Wilmott},

volume = {2026},

number = {142},

publisher = {Wilmott Magazine, Ltd},

abstract = {Investigating the surprising effect of volatility misspecification.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12220,

title = {Sales Slide for the Shark Forward},

author = {Uwe Wystup},

url = {https://wilmott.com/mp-files/wilmott-magazine-march-2026-wystup},

doi = {10.54946/wilm.12220},

issn = {1541-8286},

year  = {2026},

date = {2026-03-01},

journal = {Wilmott},

volume = {2026},

number = {142},

publisher = {Wilmott Magazine, Ltd},

abstract = {Dissecting the shark forward, a popular hedging strategy with an alluring sales pitch, revealing hidden risks and true costs.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12221,

title = {Pig Market},

author = {E. Haug},

url = {https://wilmott.com/mp-files/wilmott-magazine-march-2026-haug},

doi = {10.54946/wilm.12221},

issn = {1541-8286},

year  = {2026},

date = {2026-03-01},

journal = {Wilmott},

volume = {2026},

number = {142},

publisher = {Wilmott Magazine, Ltd},

abstract = {Espen Haug's latest book Wall Street Short Stories is a collection of fiction grounded in real life concepts. Here we present a selected extract.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12222,

title = {The AI Bubble - A Sceptical Screed},

author = {Satyajit Das},

url = {https://wilmott.com/mp-files/wilmott-magazine-march-2026-das},

doi = {10.54946/wilm.12222},

issn = {1541-8286},

year  = {2026},

date = {2026-03-01},

journal = {Wilmott},

volume = {2026},

number = {142},

publisher = {Wilmott Magazine, Ltd},

abstract = {The growing gap between expectations, investment, and revenue potential, recalls the 1990s.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12223,

title = {Replication Crisis (Part 2): Why Science Needs to be More Scientific?},

author = {Pankaj Mani},

url = {https://wilmott.com/mp-files/wilmott-magazine-march-2026-mani},

doi = {10.54946/wilm.12223},

issn = {1541-8286},

year  = {2026},

date = {2026-03-01},

urldate = {2026-03-01},

journal = {Wilmott},

volume = {2026},

number = {142},

publisher = {Wilmott Magazine, Ltd},

abstract = {Pankaj Mani points out foundational incompleteness, inconsistency in complex real-world truth.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12224,

title = {American Option Pricing by the Finite Difference Method},

author = {L. Andersen},

url = {https://wilmott.com/mp-files/wilmott-magazine-march-2026-andersen},

doi = {10.54946/wilm.12224},

issn = {1541-8286},

year  = {2026},

date = {2026-03-01},

journal = {Wilmott},

volume = {2026},

number = {142},

publisher = {Wilmott Magazine, Ltd},

abstract = {For the special, but important, case of American option pricing, practitioners often find that otherwise well-functioning finite difference methods yield results that are slower, less accurate, and less stable than expected. Perhaps, as a consequence, simpler special purpose methods (e.g., the binomial tree) are sometimes preferred for American options, despite various theoretical and practical drawbacks. In this paper, the authors show how to remedy this situation, through a range of minimally invasive "tips and tricks" that significantly improve the speed and stability of the popular theta-method finite difference scheme when applied to American option values and greeks.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12225,

title = {Gaussian Generation of Yield Curves - GenAI the Gaussian Way},

author = {J. Kienitz},

url = {https://wilmott.com/mp-files/wilmott-magazine-march-2026-kienitz},

doi = {10.54946/wilm.12225},

issn = {1541-8286},

year  = {2026},

date = {2026-03-01},

urldate = {2026-03-01},

journal = {Wilmott},

volume = {2026},

number = {142},

publisher = {Wilmott Magazine, Ltd},

abstract = {Considering the application of Gaussian Mixture Models, particularly the stochastic sampling algorithm, to yield curve generation.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12226,

title = {Why the Black-Scholes Model is Good and the Gaussian Copula is Not},

author = {D. Gatarek},

url = {https://wilmott.com/mp-files/wilmott-magazine-march-2026-gatarek},

doi = {10.54946/wilm.12226},

issn = {1541-8286},

year  = {2026},

date = {2026-03-01},

journal = {Wilmott},

volume = {2026},

number = {142},

publisher = {Wilmott Magazine, Ltd},

abstract = {Dariusz Gatarek brings the difference between users and makers into high relief and reminds us of the importance of choosing the right tool for the job.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12227,

title = {Heston vol-of-vol and the VVIX},

author = {J. Healy},

url = {https://wilmott.com/mp-files/wilmott-magazine-march-2026-healy},

doi = {10.54946/wilm.12227},

issn = {1541-8286},

year  = {2026},

date = {2026-03-01},

journal = {Wilmott},

volume = {2026},

number = {142},

publisher = {Wilmott Magazine, Ltd},

abstract = {The Heston stochastic volatility model is arguably the most popular stochastic volatility model used to price and risk manage exotic derivatives. In spite of this, it is not necessarily easy to calibrate to the market and obtain stable exotic option prices with this model. This paper focuses on the vol-of-vol parameter and its relationship with the volatility of volatility index (VVIX) level. Four different approaches to estimate the VVIX in the Heston model are presented: two based on the known transition density of the variance; one analytical approximation, and one based on the Heston PDE which computes the value directly out of the underlying SPX500. Finally, the authors explore their use to improve calibration stability.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12228,

title = {Mean-Reverting SABR Models: Closed-form Surfaces and Calibration for Equities},

author = {V. Perederiy},

url = {https://wilmott.com/mp-files/wilmott-magazine-march-2026-perederiy},

doi = {10.54946/wilm.12228},

issn = {1541-8286},

year  = {2026},

date = {2026-03-01},

journal = {Wilmott},

volume = {2026},

number = {142},

publisher = {Wilmott Magazine, Ltd},

abstract = {In this paper, we consider three stochastic-volatility models, each characterized by distinct dynamics of instantaneous volatility: (1) a CIR process for squared volatility (i.e., the classical Heston model); (2) a mean-reverting lognormal process for volatility; and (3) a CIR process for volatility. Previous research has provided semi-analytical approximations for these models in the form of simple (non-meanreverting) SABR models, each suitably parameterized for a given expiry.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}