@article{WILM:WILM12202,

title = {Take Me Out to the Ball Game},

author = {Aaron Brown},

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

doi = {10.54946/wilm.12202},

issn = {1541-8286},

year  = {2026},

date = {2026-01-01},

urldate = {2025-12-11},

journal = {Wilmott},

volume = {2026},

number = {141},

publisher = {Wilmott Magazine, Ltd},

abstract = {How would the great teams of the past fare in the modern game?},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12203,

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

author = {Rolf Poulsen},

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

doi = {10.54946/wilm.12203},

issn = {1541-8286},

year  = {2026},

date = {2026-01-01},

urldate = {2025-12-11},

journal = {Wilmott},

volume = {2026},

number = {141},

publisher = {Wilmott Magazine, Ltd},

abstract = {Could it be that a structured product, in the words of Pitt the Younger, gave with one hand, and took away with the other?},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12204,

title = {Why B# is not a C and why it\'s Time for Musical Tonality },

author = {Uwe Wystup},

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

doi = {10.54946/wilm.12204},

issn = {1541-8286},

year  = {2026},

date = {2026-01-01},

urldate = {2025-12-11},

journal = {Wilmott},

volume = {2026},

number = {141},

publisher = {Wilmott Magazine, Ltd},

abstract = {In this interview, financial risk modeling pioneer Hans-Peter Deutsch applies his analytical rigor to a centuries-old problem: musical tonality. He argues that for too long, the field has been mired in tradition and opinion, despite there being hard physical reasons for why something sounds good, independent of culture, tradition, or psychology. For the quant finance community, this demonstrates a compelling extension of a model-building mindset-using undisputed physical facts and strict logic to solve a complex problem outside of finance, resulting in his groundbreaking work, Musical Tonality, published in 2023.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12205,

title = {The Morality of Numbers},

author = {Rudi Bogni},

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

doi = {10.54946/wilm.12205},

issn = {1541-8286},

year  = {2026},

date = {2026-01-01},

urldate = {2025-12-11},

journal = {Wilmott},

volume = {2026},

number = {141},

publisher = {Wilmott Magazine, Ltd},

abstract = {Society prioritizes narrative and words over numerical facts, often to the detriment of morality.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12206,

title = {Stochastic Simulation in Gaussian Mixture Models},

author = {Joerg Kienitz},

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

doi = {10.54946/wilm.12206},

issn = {1541-8286},

year  = {2026},

date = {2026-01-01},

urldate = {2025-12-11},

journal = {Wilmott},

volume = {2026},

number = {141},

publisher = {Wilmott Magazine, Ltd},

abstract = {Considering the fundamentals of applying Gaussian Mixture Models to financial data, this article establishes a versatile, generative framework for tasks like yield curve simulation and stress testing, with detailed applications to be explored in forthcoming columns.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12207,

title = {Replication Crisis: Why Science Needs to be More Scientific!},

author = {Mani Pankaj},

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

doi = {10.54946/wilm.12207},

issn = {1541-8286},

year  = {2026},

date = {2026-01-01},

urldate = {2025-12-11},

journal = {Wilmott},

volume = {2026},

number = {141},

publisher = {Wilmott Magazine, Ltd},

abstract = {In the first part of this article, Pankaj Mani looks at Higher-Order Relative Analysis of p-values, suggesting a need for a deeper perspective on reforms in science, statistics, and data.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12208,

title = {Trade Agreements and the Stock Market: The Case of the USMCA },

author = {L. N. Switzer and A. Bajaj},

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

doi = {10.54946/wilm.12208},

issn = {1541-8286},

year  = {2026},

date = {2026-01-01},

urldate = {2025-12-11},

journal = {Wilmott},

volume = {2026},

number = {141},

publisher = {Wilmott Magazine, Ltd},

abstract = {This study investigates the market impact of the US-Mexico-Canada Trade Agreement (USMCA). on the stock market returns and volatility spillovers across the respective countries. The authors show that investors\' responses were significantly negative for each of the countries and most sectors around the critical event dates. The negative return impacts observed are consistent with multilateral wealth destruction for each party to the agreement and to the bloc as a whole. Volatility spillover effects are observed, with the US having largest impact. No significant evidence of a change in the volatility spillover effect in the period subsequent to USMCA official ratification.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12209,

title = {Financial Valuation of Hedging Systems},

author = {D. Madan and K. Wang},

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

doi = {10.54946/wilm.12209},

issn = {1541-8286},

year  = {2026},

date = {2026-01-01},

urldate = {2025-12-11},

journal = {Wilmott},

volume = {2026},

number = {141},

publisher = {Wilmott Magazine, Ltd},

abstract = {Although hedging systems may be backtested on data, the underlying dynamics are unknown and there is just the one sample path delivered by the data. On the other hand, alternate reality simulations offer a firmer understanding. All hedging systems are open to residual risk, as replication is only theoretically attainable, generally requiring an infinity of transactions. Residual risk is here priced for risk acceptability in a two-price economy. The program is implemented for a pure jump reality given by the bilateral gamma L\'{e}vy process and the Sato process associated with it. Two types of hedging systems are analyzed: the classical Black, Merton, and Scholes hedging systems and power variation hedging. It is observed that, typically as one increases the number of factors being hedged, the ask price for the residual increases. The Sato process has somewhat lower ask prices as does power variation hedging. Hedging costs measured by ask prices may also be controlled by early exits from trades.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12210,

title = {A Statistical Review of the KLD Database for SRI /ESG Investing and More Effective Portfolio Selection: Warning, SRI is Not Only for },

author = {J. Guerard and J. Huilin and Q. Yanan and W. Yijia and Z. Hanwen},

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

doi = {10.54946/wilm.12210},

issn = {1541-8286},

year  = {2026},

date = {2026-01-01},

urldate = {2025-12-11},

journal = {Wilmott},

volume = {2026},

number = {141},

publisher = {Wilmott Magazine, Ltd},

abstract = {Environmental factors are increasingly influencing investment decisions through environmental, social, and governance (ESG) criteria. This trend is reflected in reports, such as the US Social Investment Forum Foundation\'s 2020 Trends Report, which shows a significant rise in investments guided by environmental considerations. However, for pension fiduciaries, the focus is still the financial well-being of beneficiaries. They need to balance social responsibility and financial performance, often measured by the Sharpe Ratio. Robust regression is used in stock selection modeling to maximize the Sharpe and Information Ratios. Outliers are present in most financial and economic data. This paper investigates the financial impact of incorporating various ESG criteria, either individually or in combination, into traditional mean-variance portfolio construction. The authors suggest that a composite screening of multiple ESG dimensions, including Environment, Corporate Governance, and Military, can outperform individual ESG dimensions in terms of risk-adjusted performance but is less effective than certain other KLD indicators, such as Product. Additionally, the paper extends the analysis to one specific sub-category under the Human Rights category by studying companies\' social performance in South Africa, assessing whether this historically significant SRI screen influences portfolio selection. While its inclusion shows no statistically significant financial effect, it remains relevant for ethical considerations in ESG investing.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12211,

title = {Algorithm for Independent Approximations},

author = {C. Majumdar and F. Delbaen},

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

doi = {10.54946/wilm.12211},

issn = {1541-8286},

year  = {2026},

date = {2026-01-01},

urldate = {2025-12-11},

journal = {Wilmott},

volume = {2026},

number = {141},

publisher = {Wilmott Magazine, Ltd},

abstract = {Delbaen and Majumdar have proved that, given a sigma algebra representing certain unsettling information and a square integrable random variable, it is possible to identify a new random variable that remains independent of the unsettling information and serves as the best approximation of the original variable. The authors underscore the distinction between independence and mere lack of correlation. Various discrete models will be presented, in which this approximating random variable can be explicitly calculated. The complexity of the approach ranges, depending on the richness or symmetry of the discrete probability space, from quadratic interpolation to more advanced techniques from transport theory.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12212,

title = {SOFR Futures Pricing under Affine Term Structure Model with Scheduled Jumps},

author = {L. Wu and W. Xia},

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

doi = {10.54946/wilm.12212},

issn = {1541-8286},

year  = {2026},

date = {2026-01-01},

urldate = {2025-12-11},

journal = {Wilmott},

volume = {2026},

number = {141},

publisher = {Wilmott Magazine, Ltd},

abstract = {Affine term structure models (ATSM) are a class of established models for risk-free rates (RFRs). It is well known that the Secured Overnight Financing Rate (SOFR, the overnight RFR rate index for USD) stays close to the Federal fund rate, and the latter is reset routinely by the Federal Open Market Committee (FOMC) and thus follows a jump process. In this paper, the authors adopt the ATSM with jumps to price 3-month and 1-month SOFR futures and then derive the convexity adjustment formulae between the SOFR futures rates and backward-looking SOFR term rates. The authors also develop price formulae for major SOFR derivatives, including mid-curve options on SOFR futures and SOFR swaptions. The major efforts of this paper, however, is put on the estimation of a three-dimensional Cox-Ingersoll-Ross (CIR) processes with jumps, a subclass of the ATSM with jumps, as a model for the SOFR dynamics, using techniques consisting of maximum likelihood estimation and extended Kalman filter. The estimated model is applied to derive the SOFR term rates through the convexity adjustment formulae, and SOFR discount curve is then constructed based on inputs of both SOFR term rates and SOFR swap rates.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12213,

title = {Understanding Iran},

author = {Satyajit Das},

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

doi = {10.54946/wilm.12213},

issn = {1541-8286},

year  = {2026},

date = {2026-01-01},

urldate = {2025-12-11},

journal = {Wilmott},

volume = {2026},

number = {141},

publisher = {Wilmott Magazine, Ltd},

abstract = {Satyajit Das looks at Vali Nasr\'s Iran\'s Grand Strategy which examines the evolution of Iran since the 1979 revolution.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}