Articles

Harry Markowitz: An Appreciation Part II

Harry Markowitz, the creator of modern portfolio theory, Nobel Laureate and John von Neumann Theory Prize winner passed on June 22, 2023. Who was Harry Markowitz and how did his mind work? John Guerard, having worked for, worked with, and co-authored papers for years with Harry Markowitz knows who he is. In Part II of this appreciation Dr Guerard discusses Markowitz’ academic career, his years as a consultant and entrepreneur, recognition, awards and his lasting impact on quantitative finance […]

Articles

Harry Markowitz: An Appreciation Part I

Harry Markowitz, the creator of modern portfolio theory, Nobel Laureate and John von Neumann Theory Prize winner passed on June 22, 2023. Who was Harry Markowitz and how did his mind work? John Guerard, having worked for, worked with, and co-authored papers for years with Harry Markowitz knows who he is. In Part I, Dr Guerard discusses Markowitz’ early career through to 1972 […]

Articles

A Taste of QuantLib

Hello, and thanks for looking at this new feature of Wilmott Magazine. Why don’t I skip the usual introductions — we can circle back to that later — and show you some code instead? Let’s […]

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 … […]