Articles

Remembering Marco

Lixin Wu: “We should celebrate his life. A life with numerous contributions to quantitative finance and beyond and a life that enriched numerous others’, including mine.” […]

Articles

“That Crazy Boy from Búzios!”

In 2013 Marco Avellaneda discussed his life and career with Dan Tudball. In Marco’s memory Wilmott re-publishes the full article that featured on the cover of the September 2013 issue. […]

Articles

Using Zweig’s Monetary and Momentum Models in the Modern Era

This column is written jointly by John Swetye of Hypernormal Enterprises, Darien, CT and William T. Ziemba and an earlier version was published
in: John Swetye & William T. Ziemba (2016) Using Zweig’s monetary and momentum models in the
modern era, Quantitative Finance Letters, 4:1, 35–39, DOI: 10.1080/21649502.2015.1165917. A version of
this article will also appear in Stock Market Crashes: Predictable and Unpredictable and What to do About Them (World Scientific, 2017). […]

Articles

Peter Carr’s Hall of Mirrors

Put-call symmetry may have been the start but, for Peter Carr, the importance of invariance extends into surprising realms of possibility. Dan Tudball traces Carr’s kaleidoscopic journey … […]

Articles

Strange News From the Volatility Surface

  “It was a rather exciting year,” Dr. Timothy Klassen, CEO of Vola Dynamics LLC, says with some understatement, as he reflects on 2020. Vola’s analytics library, which produces easy-to-use, tradeable, and real-time volatility surfaces, proved […]

Articles

Managing Liquidity in Times of Stress

Published in partnership with Quantifi, a provider of risk, analytics and trading solutions Historically, liquidity risk has been the poor cousin of market risk and credit risk. While the global financial crisis of 2008/2009 first […]

Articles

Storm Front

As climate change progresses over the coming decades, a widening rangeof sectors will experience climate change-related damages. Climate outcomes, however, are subject to a high degree of uncertainty due to not only the socio-economic dynamics […]