Wilmott Magazine: November 2015 issue

Volume 2015, Issue 80. Pages 1–72

Screen Shot 2016-06-05 at 17.08.08

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. 80, p. 1–1, 2015. doi:10.1002/wilm.10453
    [BibTeX] [Download PDF]
    @article {WILM:WILM10453,
    title = {Contents},
    journal = {Wilmott},
    volume = {2015},
    number = {80},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10453},
    doi = {10.1002/wilm.10453},
    pages = {1--1},
    year = {2015},
    }

  • D. Tudball, “Ed’s letter:nothin’ in common,” Wilmott, vol. 2015, iss. 80, p. 2–3, 2015. doi:10.1002/wilm.10454
    [BibTeX] [Abstract] [Download PDF]

    Among the first to warn of the global financial crisis that begin with the collapse of subprime mortgages in 2007.

    @article {WILM:WILM10454,
    author = {Tudball, Dan},
    title = {Ed's Letter:Nothin' In Common},
    journal = {Wilmott},
    volume = {2015},
    number = {80},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10454},
    doi = {10.1002/wilm.10454},
    pages = {2--3},
    year = {2015},
    abstract = {Among the first to warn of the global financial crisis that begin with the collapse of subprime mortgages in 2007.},
    }

  • “News,” Wilmott, vol. 2015, iss. 80, p. 4–11, 2015. doi:10.1002/wilm.10455
    [BibTeX] [Download PDF]
    @article {WILM:WILM10455,
    title = {News},
    journal = {Wilmott},
    volume = {2015},
    number = {80},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10455},
    doi = {10.1002/wilm.10455},
    pages = {4--11},
    year = {2015},
    }

  • A. Brown, “The new new math,” Wilmott, vol. 2015, iss. 80, p. 12–15, 2015. doi:10.1002/wilm.10456
    [BibTeX] [Abstract] [Download PDF]

    Could math ever be taught for math’s sake alone?

    @article {WILM:WILM10456,
    author = {Brown, Aaron},
    title = {The New New Math},
    journal = {Wilmott},
    volume = {2015},
    number = {80},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10456},
    doi = {10.1002/wilm.10456},
    pages = {12--15},
    year = {2015},
    abstract = {Could math ever be taught for math's sake alone?},
    }

  • S. Das, “A little trouble in big china,” Wilmott, vol. 2015, iss. 80, p. 16–21, 2015. doi:10.1002/wilm.10457
    [BibTeX] [Abstract] [Download PDF]

    Elyot Chase in Noel Coward’s Private Lives could find no other descriptor of China than its size. Most things are big in China, even its stock market crashes.

    @article {WILM:WILM10457,
    author = {Das, Satyajit},
    title = {A Little Trouble in Big China},
    journal = {Wilmott},
    volume = {2015},
    number = {80},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10457},
    doi = {10.1002/wilm.10457},
    pages = {16--21},
    year = {2015},
    abstract = {Elyot Chase in Noel Coward's Private Lives could find no other descriptor of China than its size. Most things are big in China, even its stock market crashes.},
    }

  • L. C. MacLean and W. T. Ziemba, “Primer on utility theory,” Wilmott, vol. 2015, iss. 80, p. 22–29, 2015. doi:10.1002/wilm.10458
    [BibTeX] [Abstract] [Download PDF]

    To structure the decision process, a theory of preferences is required. The theory of preferences concerns the ability to represent structure with a real-valued function. This has been achieved by mapping it to the mathematical index call utility.

    @article {WILM:WILM10458,
    author = {MacLean, Leonard C. and Ziemba, W. T.},
    title = {Primer on Utility Theory},
    journal = {Wilmott},
    volume = {2015},
    number = {80},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10458},
    doi = {10.1002/wilm.10458},
    pages = {22--29},
    year = {2015},
    abstract = {To structure the decision process, a theory of preferences is required. The theory of preferences concerns the ability to represent structure with a real-valued function. This has been achieved by mapping it to the mathematical index call utility.},
    }

  • G. Meissner, “It’s all about correlation,” Wilmott, vol. 2015, iss. 80, p. 30–37, 2015. doi:10.1002/wilm.10459
    [BibTeX] [Abstract] [Download PDF]

    In a series of several, mainly educational, articles, we will discuss and demystify the various concepts and models of correlation. In this first article Gunter Meissner gives a short history of correlation, presents an overview of 15 correlation models, clarifies the term correlation, and shows the financial areas in which correlation is critical.

    @article {WILM:WILM10459,
    author = {Meissner, Gunter},
    title = {It's All About Correlation},
    journal = {Wilmott},
    volume = {2015},
    number = {80},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10459},
    doi = {10.1002/wilm.10459},
    pages = {30--37},
    year = {2015},
    abstract = {In a series of several, mainly educational, articles, we will discuss and demystify the various concepts and models of correlation. In this first article Gunter Meissner gives a short history of correlation, presents an overview of 15 correlation models, clarifies the term correlation, and shows the financial areas in which correlation is critical.},
    }

  • M. Staunton, “Periodic decomposition redux!,” Wilmott, vol. 2015, iss. 80, p. 38–39, 2015. doi:10.1002/wilm.10460
    [BibTeX] [Abstract] [Download PDF]

    Channeling Francis Ford Coppola with a bang!

    @article {WILM:WILM10460,
    author = {Staunton, Mike},
    title = {Periodic Decomposition Redux!},
    journal = {Wilmott},
    volume = {2015},
    number = {80},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10460},
    doi = {10.1002/wilm.10460},
    pages = {38--39},
    year = {2015},
    abstract = {Channeling Francis Ford Coppola with a bang!},
    }

  • Z. Kakushadze, “Heterotic risk models,” Wilmott, vol. 2015, iss. 80, p. 40–55, 2015. doi:10.1002/wilm.10461
    [BibTeX] [Abstract] [Download PDF]

    This article gives a complete algorithm and source code for constructing what we refer to as heterotic risk models (for equities), which combine: (i) granularity of an industry classification; (ii) diagonality of the principal component factor covariance matrix for any sub-cluster of stocks; and (iii) dramatic reduction of the factor covariance matrix size in the Russian-doll risk model construction. This appears to prove a powerful approach for constructing out-of-sample stable short-lookback risk models. Thus, for intraday mean-reversion alphas based on overnight returns, Sharpe ratio optimization using our heterotic risk models sizably improves the performance characteristics compared with weighted regressions based on principal components or industry classification. We also give source code for: (a) building statistical risk models; and (ii) Sharpe ratio optimization with homogeneous linear constraints and position bounds.

    @article {WILM:WILM10461,
    author = {Kakushadze, Zura},
    title = {Heterotic Risk Models},
    journal = {Wilmott},
    volume = {2015},
    number = {80},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10461},
    doi = {10.1002/wilm.10461},
    pages = {40--55},
    keywords = {multi-factor risk model, optimization, specific risk, factor risk, industry factors, principal components},
    year = {2015},
    abstract = {This article gives a complete algorithm and source code for constructing what we refer to as heterotic risk models (for equities), which combine: (i) granularity of an industry classification; (ii) diagonality of the principal component factor covariance matrix for any sub-cluster of stocks; and (iii) dramatic reduction of the factor covariance matrix size in the Russian-doll risk model construction. This appears to prove a powerful approach for constructing out-of-sample stable short-lookback risk models. Thus, for intraday mean-reversion alphas based on overnight returns, Sharpe ratio optimization using our heterotic risk models sizably improves the performance characteristics compared with weighted regressions based on principal components or industry classification. We also give source code for: (a) building statistical risk models; and (ii) Sharpe ratio optimization with homogeneous linear constraints and position bounds.},
    }

  • M. Maio and J. de Jong, “Curiosities of the monotone-preserving cubic spline,” Wilmott, vol. 2015, iss. 80, p. 56–61, 2015. doi:10.1002/wilm.10462
    [BibTeX] [Abstract] [Download PDF]

    In this paper we describe some new features of the monotone-preserving cubic spline and the Hyman monotonicity constraint that is implemented in various spline interpolation methods to ensure monotonicity. We find that, while the Hyman constraint is in general useful to enforce monotonicity, it can safely be omitted when the monotone-preserving cubic spline is considered. We also find that, when computing sensitivities, consistency requires making some specific assumptions about how to deal with non-differentiable locations that become relevant for special values of the parameter space.

    @article {WILM:WILM10462,
    author = {Maio, Michele and de Jong, Jorrit-Jaap},
    title = {Curiosities of the Monotone-Preserving Cubic Spline},
    journal = {Wilmott},
    volume = {2015},
    number = {80},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10462},
    doi = {10.1002/wilm.10462},
    pages = {56--61},
    keywords = {yield curve, fixed income, interpolation, Hyman, monotone-preserving cubic spline},
    year = {2015},
    abstract = {In this paper we describe some new features of the monotone-preserving cubic spline and the Hyman monotonicity constraint that is implemented in various spline interpolation methods to ensure monotonicity. We find that, while the Hyman constraint is in general useful to enforce monotonicity, it can safely be omitted when the monotone-preserving cubic spline is considered. We also find that, when computing sensitivities, consistency requires making some specific assumptions about how to deal with non-differentiable locations that become relevant for special values of the parameter space.},
    }

  • S. Das, “Book reviews,” Wilmott, vol. 2015, iss. 80, p. 62–69, 2015. doi:10.1002/wilm.10463
    [BibTeX] [Abstract] [Download PDF]

    The world of Art continues to corrupt the purity of Money…

    @article {WILM:WILM10463,
    author = {Das, Satyajit},
    title = {Book Reviews},
    journal = {Wilmott},
    volume = {2015},
    number = {80},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10463},
    doi = {10.1002/wilm.10463},
    pages = {62--69},
    year = {2015},
    abstract = {The world of Art continues to corrupt the purity of Money…},
    }

  • M. Radley, “Cars,” Wilmott, vol. 2015, iss. 80, p. 70–71, 2015. doi:10.1002/wilm.10464
    [BibTeX] [Abstract] [Download PDF]

    As Audi launches MkII of its head-turning R8 supercar, it’s time to find out just how afraid its competitors with a much longer sports heritage should really be.

    @article {WILM:WILM10464,
    author = {Radley, Milford},
    title = {Cars},
    journal = {Wilmott},
    volume = {2015},
    number = {80},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10464},
    doi = {10.1002/wilm.10464},
    pages = {70--71},
    year = {2015},
    abstract = {As Audi launches MkII of its head-turning R8 supercar, it's time to find out just how afraid its competitors with a much longer sports heritage should really be.},
    }

  • J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2015, iss. 80, p. 72–72, 2015. doi:10.1002/wilm.10465
    [BibTeX] [Download PDF]
    @article {WILM:WILM10465,
    author = {Darasz, Jan},
    title = {The skewed world of Jan Darasz},
    journal = {Wilmott},
    volume = {2015},
    number = {80},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10465},
    doi = {10.1002/wilm.10465},
    pages = {72--72},
    year = {2015},
    }

Wilmott magazine

More information about Wilmott magazine can be found here.

Related Posts

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 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...