Volume 2020, Issue 105. Pages 1–72
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In this issue:
Bibliography
- “Contents,” Wilmott, vol. 2020, iss. 105, p. 1–1, 2020.
[Bibtex]@article {WILM:WILM10810, title = {Contents}, journal = {Wilmott}, volume = {2020}, number = {105}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10810}, doi = {10.1002/wilm.10810}, pages = {1--1}, year = {2020}, } - D. Tudball, “Everything is rosy now,” Wilmott, vol. 2020, iss. 105, p. 2–3, 2020.
[Bibtex] [Abstract]
“Capital markets are great short‐term error correctors and poor long‐term predictors,” writes Kent. He calls the combination “rational myopia.”
@article {WILM:WILM10811, author = {Tudball, Dan}, title = {Everything Is Rosy Now}, journal = {Wilmott}, volume = {2020}, number = {105}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10811}, doi = {10.1002/wilm.10811}, pages = {2--3}, year = {2020}, abstract = {“Capital markets are great short‐term error correctors and poor long‐term predictors,” writes Kent. He calls the combination “rational myopia.”}, } - “News,” Wilmott, vol. 2020, iss. 105, p. 4–5, 2020.
[Bibtex]@article {WILM:WILM10812, title = {News}, journal = {Wilmott}, volume = {2020}, number = {105}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10812}, doi = {10.1002/wilm.10812}, pages = {4--5}, year = {2020}, } - V. Dynamics, “The swiss army knife of options analytics,” Wilmott, vol. 2020, iss. 105, p. 6–9, 2020.
[Bibtex] [Abstract]
Finally, a solution to the most vexing problems of options pricing and fitting.
@article {WILM:WILM10813, author = {Dynamics, Vola}, title = {The Swiss Army Knife of Options Analytics}, journal = {Wilmott}, volume = {2020}, number = {105}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10813}, doi = {10.1002/wilm.10813}, pages = {6--9}, year = {2020}, abstract = {Finally, a solution to the most vexing problems of options pricing and fitting.}, } - A. Brown, “The many‐worlds interpretation of risk neutrality,” Wilmott, vol. 2020, iss. 105, p. 10–11, 2020.
[Bibtex] [Abstract]
There are many risk‐neutral worlds, with different probabilities that support the same market prices. This matters in understanding how the originators of the Black‐Scholes model each thought differently about how the math linked to the economics…
@article {WILM:WILM10814, author = {Brown, Aaron}, title = {The Many‐Worlds Interpretation of Risk Neutrality}, journal = {Wilmott}, volume = {2020}, number = {105}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10814}, doi = {10.1002/wilm.10814}, pages = {10--11}, year = {2020}, abstract = {There are many risk‐neutral worlds, with different probabilities that support the same market prices. This matters in understanding how the originators of the Black‐Scholes model each thought differently about how the math linked to the economics…}, } - R. Poulsen, “Elasticity of variance of variance,” Wilmott, vol. 2020, iss. 105, p. 12–15, 2020.
[Bibtex] [Abstract]
An empirical two‐horse race between the Heston and SABR for the period around the 2008 financial crisis.)
@article {WILM:WILM10815, author = {Poulsen, Rolf}, title = {Elasticity of Variance of Variance}, journal = {Wilmott}, volume = {2020}, number = {105}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10815}, doi = {10.1002/wilm.10815}, pages = {12--15}, year = {2020}, abstract = {An empirical two‐horse race between the Heston and SABR for the period around the 2008 financial crisis.)}, } - K. Osband, “Bridging the orthodox/behaviorist divide,” Wilmott, vol. 2020, iss. 105, p. 16–28, 2020.
[Bibtex] [Abstract]
Capital markets are neither knowledge machines nor ships of fools. They are social learners, according to Kent Osband, continually correcting and refining their flawed predictions. Predictions are flawed because no one can sample the future. Instead, agents study the historical record, look for relevant trends, and project their continuation. Appreciating this can help transcend the false dichotomy between orthodox and behavioral finance.
@article {WILM:WILM10816, author = {Osband, Kent}, title = {Bridging the Orthodox/Behaviorist Divide}, journal = {Wilmott}, volume = {2020}, number = {105}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10816}, doi = {10.1002/wilm.10816}, pages = {16--28}, year = {2020}, abstract = {Capital markets are neither knowledge machines nor ships of fools. They are social learners, according to Kent Osband, continually correcting and refining their flawed predictions. Predictions are flawed because no one can sample the future. Instead, agents study the historical record, look for relevant trends, and project their continuation. Appreciating this can help transcend the false dichotomy between orthodox and behavioral finance.}, } - U. Wystup, “Correlation 101,” Wilmott, vol. 2020, iss. 105, p. 29–31, 2020.
[Bibtex] [Abstract]
Think you understand correlation? Think again…
@article {WILM:WILM10817, author = {Wystup, Uwe}, title = {Correlation 101}, journal = {Wilmott}, volume = {2020}, number = {105}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10817}, doi = {10.1002/wilm.10817}, pages = {29--31}, year = {2020}, abstract = {Think you understand correlation? Think again…}, } - A. Savine, “Computation graphs for aad and machine learning part ii: adjoint differentiation and aad,” Wilmott, vol. 2020, iss. 105, p. 32–45, 2020.
[Bibtex] [Abstract]
Second in a series of three articles with code, exploring the notion of computation graph, with words, mathematics and code, and application in Machine Learning and finance to compute a vast number of derivative sensitivities with spectacular speed and accuracy.
@article {WILM:WILM10818, author = {Savine, Antoine}, title = {Computation Graphs for AAD and Machine Learning Part II: Adjoint Differentiation and AAD}, journal = {Wilmott}, volume = {2020}, number = {105}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10818}, doi = {10.1002/wilm.10818}, pages = {32--45}, year = {2020}, abstract = {Second in a series of three articles with code, exploring the notion of computation graph, with words, mathematics and code, and application in Machine Learning and finance to compute a vast number of derivative sensitivities with spectacular speed and accuracy.}, } - B. Ziemba, “William t. ziemba's contributions to portfolio theory and practice,” Wilmott, vol. 2020, iss. 105, p. 46–57, 2020.
[Bibtex] [Abstract]
Half a century flies by when Bill applies himself to Markowitz's gift that keeps on giving…
@article {WILM:WILM10819, author = {Ziemba, Bill}, title = {William T. Ziemba's Contributions to Portfolio Theory and Practice}, journal = {Wilmott}, volume = {2020}, number = {105}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10819}, doi = {10.1002/wilm.10819}, pages = {46--57}, year = {2020}, abstract = {Half a century flies by when Bill applies himself to Markowitz's gift that keeps on giving…}, } - P. S. Hagan, A. S. Lesniewski, G. E. Skoufis, and D. E. Woodward, “Convexity without replication,” Wilmott, vol. 2020, iss. 105, p. 58–69, 2020.
[Bibtex] [Abstract]
We revise the standard analysis of constant maturity swaps, caps, and floors to account for dual forecast and discount curves. This reduces the pricing of these deals to evaluation of quadratic swaplets, caplets, and floorlets. We use the explicit, closed‐form expressions for the value of these quadratic options under the SABR model. This enables us to use swaption smile information to improve CMS pricing, without resorting to onerous numerical replication techniques. We extend this analysis to obtain the convexity corrections for Libor‐in‐arrears and other mis‐matched simple rates, and to value IRR‐settled swaps and swaptions.
@article {WILM:WILM10820, author = {Hagan, Patrick S. and Lesniewski, Andrew S. and Skoufis, Georgios E. and Woodward, Diana E.}, title = {Convexity Without Replication}, journal = {Wilmott}, volume = {2020}, number = {105}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10820}, doi = {10.1002/wilm.10820}, pages = {58--69}, keywords = {CMS, replication, convexity corrections, SABR}, year = {2020}, abstract = {We revise the standard analysis of constant maturity swaps, caps, and floors to account for dual forecast and discount curves. This reduces the pricing of these deals to evaluation of quadratic swaplets, caplets, and floorlets. We use the explicit, closed‐form expressions for the value of these quadratic options under the SABR model. This enables us to use swaption smile information to improve CMS pricing, without resorting to onerous numerical replication techniques. We extend this analysis to obtain the convexity corrections for Libor‐in‐arrears and other mis‐matched simple rates, and to value IRR‐settled swaps and swaptions.}, } - M. Radley, “Cars,” Wilmott, vol. 2020, iss. 105, p. 70–71, 2020.
[Bibtex] [Abstract]
Porsche arrives with its first all‐electric car for those who can't take Tesla seriously enough.
@article {WILM:WILM10821, author = {Radley, Milford}, title = {Cars}, journal = {Wilmott}, volume = {2020}, number = {105}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10821}, doi = {10.1002/wilm.10821}, pages = {70--71}, year = {2020}, abstract = {Porsche arrives with its first all‐electric car for those who can't take Tesla seriously enough.}, } - J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2020, iss. 105, p. 72–72, 2020.
[Bibtex]@article {WILM:WILM10822, author = {Darasz, Jan}, title = {The skewed world of Jan Darasz}, journal = {Wilmott}, volume = {2020}, number = {105}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10822}, doi = {10.1002/wilm.10822}, pages = {72--72}, year = {2020}, }
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