@article{WILM:WILM12233,

title = {Trading Places },

author = {Aaron Brown},

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

doi = {10.54946/wilm.12233},

issn = {1541-8286},

year  = {2026},

date = {2026-05-01},

journal = {Wilmott},

volume = {2026},

number = {143},

publisher = {Wilmott Magazine, Ltd},

abstract = {Long before there was rotisserie baseball or fantasy sports or sabermetrics or Strat-O-Matic tabletop sports games, there was Topps '51},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12234,

title = {Can I Have My Money Back NOW!?},

author = {Rolf Poulsen},

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

doi = {10.54946/wilm.12234},

issn = {1541-8286},

year  = {2026},

date = {2026-05-01},

journal = {Wilmott},

volume = {2026},

number = {143},

publisher = {Wilmott Magazine, Ltd},

abstract = {Nine ways to Americanize a call-spread plus a constant - early exercise rights decoded.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12235,

title = {Accumulator Pricing - Structurers' Approach},

author = {Uwe Wystup},

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

doi = {10.54946/wilm.12235},

issn = {1541-8286},

year  = {2026},

date = {2026-05-01},

journal = {Wilmott},

volume = {2026},

number = {143},

publisher = {Wilmott Magazine, Ltd},

abstract = {Ever wanted to beat the market at zero cost to you, your family and your friends!?},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12236,

title = {Comparative Analysis of Pseudo-Random and Low-Discrepancy Number Generators: Implications for Normality and Value-at-Risk Estimation in Investment Portfolios},

author = {Sergei Kucherenko},

url = {https://wilmott.com/mp-files/wilmott-magazine-may-2026-cover-story},

doi = {10.54946/wilm.12236},

issn = {1541-8286},

year  = {2026},

date = {2026-05-01},

urldate = {2026-05-01},

journal = {Wilmott},

volume = {2026},

number = {143},

publisher = {Wilmott Magazine, Ltd},

abstract = {This study examines the impact of sampling schemes on Monte Carlo=based Value-at-Risk (VaR) estimation at both the risk factor and portfolio levels. The authors compare pseudo-random number generators with low-discrepancy sequences, including Sobol and Halton constructions. At the uncorrelated risk factor level, pseudo-random generators exhibit higher variability and less stable VaR estimates than low-discrepancy sequences. When correlation is introduced, the differences between the generators in how closely the theoretical VaR is achieved are substantially reduced. Moreover, portfolio aggregation further diminishes these differences, while the accuracy with which the theoretical VaR is represented also decreases across all generators. Optimized Sobol sequences (Sobol OPT and Sobol EN) demonstrate superior preservation of correlation structures, particularly in higher-dimensional settings. Overall, the results highlight the role of advanced random number generation techniques in enhancing the efficiency and reliability of VaR estimation in portfolio risk management.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12237,

title = {Equity Returns with a Stop-Loss},

author = {James Battle},

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

doi = {10.54946/wilm.12237},

issn = {1541-8286},

year  = {2026},

date = {2026-05-01},

journal = {Wilmott},

volume = {2026},

number = {143},

publisher = {Wilmott Magazine, Ltd},

abstract = {The author derives an explicit analytical formula for the expected return of an equity with a stop-loss. The author shows that under certain conditions on the drift, there can be an optimal level for a stop-loss, and that the expected return can exceed that of the buy-and-hold strategy.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12238,

title = {Pricing Vulnerable American Option with Funding Costs},

author = {Richard Zhou},

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

doi = {10.54946/wilm.12238},

issn = {1541-8286},

year  = {2026},

date = {2026-05-01},

journal = {Wilmott},

volume = {2026},

number = {143},

publisher = {Wilmott Magazine, Ltd},

abstract = {The author derives early exercise premium representation formulas for an American put option with bilateral counterparty risk and funding cost. The derivation involves: transforming the American put into an equivalent European instrument that changes characteristics at the exercise boundary, deriving partial differential equation (PDE) based on the hedging strategies and the default Close-out rules, and applying the change-of-variable formula of Peskir (2005b). The vulnerable American put value is the sum of the corresponding vulnerable European put value, the early exercise premium, the value adjustment due to counterparty risk and funding cost, and the option value jump at default. The early exercise premium is the expected cumulative consumption. The formulas are for the values of the vulnerable American and vulnerable European put options with their nonvulnerable counterparts as special cases. Thus, they provide a unified valuation framework for American and European put options whether vulnerable or not. In particular, standard American put can be considered as a vulnerable American put with perfect recovery. Based on the formulas, the author shows that the defaulter never loses but may gain if he is the seller, and the survivor never gains but may lose if he is the buyer. The Risk-Free Close-out, where the Close-out value is the corresponding standard American put value, benefits the buyer but penalizes the seller. If the option value does not jump at default, the buyer's credit quality does not affect the option value. The author derives the condition for the existence of the arbitrage-band, the price interval bounded from below by the buyer's price and above by the seller's price.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}