Wilmott Magazine: May 2015 issue

Volume 2015, Issue 79. Pages 1–84

2015_05_interior

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. 2015, iss. 77, p. 1–1, 2015. doi:10.1002/wilm.10413
    [BibTeX] [Download PDF]
    @article {WILM:WILM10413,
    title = {Contents},
    journal = {Wilmott},
    volume = {2015},
    number = {77},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10413},
    doi = {10.1002/wilm.10413},
    pages = {1--1},
    year = {2015},
    }

  • D. Tudball, “Ed’s letter: that old black magic,” Wilmott, vol. 2015, iss. 77, p. 2–3, 2015. doi:10.1002/wilm.10414
    [BibTeX] [Abstract] [Download PDF]

    ‘Quantitative greasing augments quantitative easing’

    @article {WILM:WILM10414,
    author = {Tudball, Dan},
    title = {Ed's Letter: That Old Black Magic},
    journal = {Wilmott},
    volume = {2015},
    number = {77},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10414},
    doi = {10.1002/wilm.10414},
    pages = {2--3},
    year = {2015},
    abstract = {‘Quantitative greasing augments quantitative easing’},
    }

  • “News,” Wilmott, vol. 2015, iss. 77, p. 4–9, 2015. doi:10.1002/wilm.10415
    [BibTeX] [Download PDF]
    @article {WILM:WILM10415,
    title = {News},
    journal = {Wilmott},
    volume = {2015},
    number = {77},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10415},
    doi = {10.1002/wilm.10415},
    pages = {4--9},
    year = {2015},
    }

  • I. Hlivka, “Practical methods for incremental risk charge calculation,” Wilmott, vol. 2015, iss. 77, p. 10–17, 2015. doi:10.1002/wilm.10416
    [BibTeX] [Abstract] [Download PDF]

    Igor Hlivka presents practical approaches and methods for the incremental risk charge calculation required by banking regulators

    @article {WILM:WILM10416,
    author = {Hlivka, Igor},
    title = {Practical Methods for Incremental Risk Charge Calculation},
    journal = {Wilmott},
    volume = {2015},
    number = {77},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10416},
    doi = {10.1002/wilm.10416},
    pages = {10--17},
    year = {2015},
    abstract = {Igor Hlivka presents practical approaches and methods for the incremental risk charge calculation required by banking regulators},
    }

  • A. Brown, “We’re having a heat wave, should we wave back?,” Wilmott, vol. 2015, iss. 77, p. 18–23, 2015. doi:10.1002/wilm.10417
    [BibTeX] [Abstract] [Download PDF]

    This is an essay on data analysis, not on global warming

    @article {WILM:WILM10417,
    author = {Brown, Aaron},
    title = {We're Having a Heat Wave, Should We Wave Back?},
    journal = {Wilmott},
    volume = {2015},
    number = {77},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10417},
    doi = {10.1002/wilm.10417},
    pages = {18--23},
    year = {2015},
    abstract = {This is an essay on data analysis, not on global warming},
    }

  • B. Ziemba, “The 2014–2015 nfl season, playoffs, and the super bowl,” Wilmott, vol. 2015, iss. 77, p. 24–43, 2015. doi:10.1002/wilm.10418
    [BibTeX] [Abstract] [Download PDF]

    Dr. Z uses mean reversion in index futures and here in the NFL

    @article {WILM:WILM10418,
    author = {Ziemba, Bill},
    title = {The 2014–2015 NFL Season, Playoffs, and the Super Bowl},
    journal = {Wilmott},
    volume = {2015},
    number = {77},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10418},
    doi = {10.1002/wilm.10418},
    pages = {24--43},
    year = {2015},
    abstract = {Dr. Z uses mean reversion in index futures and here in the NFL},
    }

  • S. Das, “Reverse oil shock,” Wilmott, vol. 2015, iss. 77, p. 44–51, 2015. doi:10.1002/wilm.10419
    [BibTeX] [Abstract] [Download PDF]

    The price of crude oil, adjusted for inflation, is at 1979 levels, having fallen by over 40 percent since June 2014. Satyajit Das writes that this is not the first oil price shock but part of the periodic conflicts in the oil market that John D. Rockefeller, a century ago, called the “great sweating.”

    @article {WILM:WILM10419,
    author = {Das, Satyajit},
    title = {Reverse Oil Shock},
    journal = {Wilmott},
    volume = {2015},
    number = {77},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10419},
    doi = {10.1002/wilm.10419},
    pages = {44--51},
    year = {2015},
    abstract = {The price of crude oil, adjusted for inflation, is at 1979 levels, having fallen by over 40 percent since June 2014. Satyajit Das writes that this is not the first oil price shock but part of the periodic conflicts in the oil market that John D. Rockefeller, a century ago, called the “great sweating.”},
    }

  • T. Mazzoni, “Smoothing the yield curve,” Wilmott, vol. 2015, iss. 77, p. 52–59, 2015. doi:10.1002/wilm.10420
    [BibTeX] [Abstract] [Download PDF]

    This article provides simple and explicit formulas for smoothly fitting the yield curve from prices of traded instruments. Contrary to the usual approaches based on interpolation or deterministic curve fitting, the method under consideration contains a stochastic model for the yield curve. Consequently, one obtains not only the estimated yield and forward curve, but also confidence areas for the estimates.

    @article {WILM:WILM10420,
    author = {Mazzoni, Thomas},
    title = {Smoothing the Yield Curve},
    journal = {Wilmott},
    volume = {2015},
    number = {77},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10420},
    doi = {10.1002/wilm.10420},
    pages = {52--59},
    keywords = {yield curve, Ornstein–Uhlenbeck process, Kalman filter, RTS smoother},
    year = {2015},
    abstract = {This article provides simple and explicit formulas for smoothly fitting the yield curve from prices of traded instruments. Contrary to the usual approaches based on interpolation or deterministic curve fitting, the method under consideration contains a stochastic model for the yield curve. Consequently, one obtains not only the estimated yield and forward curve, but also confidence areas for the estimates.},
    }

  • S. Schlenkrich and A. Miemiec, “Choosing the right speed,” Wilmott, vol. 2015, iss. 77, p. 60–67, 2015. doi:10.1002/wilm.10421
    [BibTeX] [Abstract] [Download PDF]

    In this article we analyze the modeling of deterministic funding and tenor basis spreads for the pricing of Libor exotics. In particular, the tenor basis may be modeled by means of simple compounded or continuous compounded forward rate spreads. We compare the resulting payoff adjustments and discuss implications on pricing model implementations. Moreover, we analyze a simplified payoff adjustment and gauge the valuation inaccuracy resulting from inconsistencies in its definition.

    @article {WILM:WILM10421,
    author = {Schlenkrich, Sebastian and Miemiec, André},
    title = {Choosing the Right Speed},
    journal = {Wilmott},
    volume = {2015},
    number = {77},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10421},
    doi = {10.1002/wilm.10421},
    pages = {60--67},
    keywords = {interest rate model, multi-curve modeling, tenor and funding basis spread, Libor, OIS, cross-currency},
    year = {2015},
    abstract = {In this article we analyze the modeling of deterministic funding and tenor basis spreads for the pricing of Libor exotics. In particular, the tenor basis may be modeled by means of simple compounded or continuous compounded forward rate spreads. We compare the resulting payoff adjustments and discuss implications on pricing model implementations. Moreover, we analyze a simplified payoff adjustment and gauge the valuation inaccuracy resulting from inconsistencies in its definition.},
    }

  • B. M. Damghani, “Introducing the implied volatility surface parametrization (ivp): application to the fx market,” Wilmott, vol. 2015, iss. 77, p. 68–81, 2015. doi:10.1002/wilm.10422
    [BibTeX] [Abstract] [Download PDF]

    The aim of this article is to introduce a new parametrization of the implied volatility surface (IVP), which builds on the gSVI methodology recently introduced [4] but incorporates novel features like a bid-ask model and the methodology behind de-arbitraging a volatility surface and stressing it without re-adding arbitrages within the scope of the FX market – where the relationship between currencies is constrained by the triangle rule as well as the usual calendar and butterfly arbitrages.

    @article {WILM:WILM10422,
    author = {Damghani, Babak Mahdavi},
    title = {Introducing the Implied Volatility Surface Parametrization (IVP): Application to the FX Market},
    journal = {Wilmott},
    volume = {2015},
    number = {77},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10422},
    doi = {10.1002/wilm.10422},
    pages = {68--81},
    keywords = {IVP, SVI, gSVI, SABR, arbitrage-free volatility surface, positive semi-definite implied correlation matrices, FX, Dupire local volatility, constraint optimization, butterfly spread, calendar spread},
    year = {2015},
    abstract = {The aim of this article is to introduce a new parametrization of the implied volatility surface (IVP), which builds on the gSVI methodology recently introduced [4] but incorporates novel features like a bid-ask model and the methodology behind de-arbitraging a volatility surface and stressing it without re-adding arbitrages within the scope of the FX market – where the relationship between currencies is constrained by the triangle rule as well as the usual calendar and butterfly arbitrages.},
    }

  • M. Radley, “Cars,” Wilmott, vol. 2015, iss. 77, p. 82–83, 2015. doi:10.1002/wilm.10423
    [BibTeX] [Abstract] [Download PDF]

    Porsche changed the concept of 4 × 4 crossover performance with the top-selling Cayenne. BMW continues to steal some of that pie, although with its second-generation hypertuned SUV.

    @article {WILM:WILM10423,
    author = {Radley, Milford},
    title = {Cars},
    journal = {Wilmott},
    volume = {2015},
    number = {77},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10423},
    doi = {10.1002/wilm.10423},
    pages = {82--83},
    year = {2015},
    abstract = {Porsche changed the concept of 4 × 4 crossover performance with the top-selling Cayenne. BMW continues to steal some of that pie, although with its second-generation hypertuned SUV.},
    }

  • J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2015, iss. 77, p. 84–84, 2015. doi:10.1002/wilm.10424
    [BibTeX] [Download PDF]
    @article {WILM:WILM10424,
    author = {Darasz, Jan},
    title = {The skewed world of Jan Darasz},
    journal = {Wilmott},
    volume = {2015},
    number = {77},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10424},
    doi = {10.1002/wilm.10424},
    pages = {84--84},
    year = {2015},
    }

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