Volume 2021, Issue 111. Pages 1-96
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In this issue:
Bibliography
- “Contents,” Wilmott, vol. 2021, iss. 111, p. 1–1, 2021.
[Bibtex]@article {WILM:WILM10895, title = {Contents}, journal = {Wilmott}, volume = {2021}, number = {111}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10895}, doi = {10.1002/wilm.10895}, pages = {1--1}, year = {2021}, } - D. Tudball, “Carry moonbeams home in a jar…,” Wilmott, vol. 2021, iss. 111, p. 2–3, 2021.
[Bibtex] [Abstract]
The rise of this regime has been supported (perhaps unwittingly) by governments and central banks.
@article {WILM:WILM10896, author = {Tudball, Dan}, title = {Carry Moonbeams Home in a Jar…}, journal = {Wilmott}, volume = {2021}, number = {111}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10896}, doi = {10.1002/wilm.10896}, pages = {2--3}, year = {2021}, abstract = {The rise of this regime has been supported (perhaps unwittingly) by governments and central banks.}, } - “News,” Wilmott, vol. 2021, iss. 111, p. 4–6, 2021.
[Bibtex]@article {WILM:WILM10897, title = {News}, journal = {Wilmott}, volume = {2021}, number = {111}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10897}, doi = {10.1002/wilm.10897}, pages = {4--6}, year = {2021}, } - Quantifi, “Managing liquidity in times of stress,” Wilmott, vol. 2021, iss. 111, p. 7–10, 2021.
[Bibtex] [Abstract]
Proper evaluation and provision of liquidity risk is not a quick fix; it requires diligent contemplation of needs, and a reliable partnership with the right technology and data provider.
@article {WILM:WILM10898, author = {Quantifi}, title = {Managing Liquidity in Times of Stress}, journal = {Wilmott}, volume = {2021}, number = {111}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10898}, doi = {10.1002/wilm.10898}, pages = {7--10}, year = {2021}, abstract = {Proper evaluation and provision of liquidity risk is not a quick fix; it requires diligent contemplation of needs, and a reliable partnership with the right technology and data provider.}, } - A. Brown, “You cannot serve both god and salmon,” Wilmott, vol. 2021, iss. 111, p. 11–13, 2021.
[Bibtex] [Abstract]
A simple dice game provides an opportunity to examine Kelly over ‘experience.’
@article {WILM:WILM10899, author = {Brown, Aaron}, title = {You Cannot Serve Both God and Salmon}, journal = {Wilmott}, volume = {2021}, number = {111}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10899}, doi = {10.1002/wilm.10899}, pages = {11--13}, year = {2021}, abstract = {A simple dice game provides an opportunity to examine Kelly over ‘experience.’}, } - U. Wystup, “What is a currency option?,” Wilmott, vol. 2021, iss. 111, p. 14–15, 2021.
[Bibtex] [Abstract]
Payoff formulas are largely irrelevant in a court of law.)
@article {WILM:WILM10900, author = {Wystup, Uwe}, title = {What Is a Currency Option?}, journal = {Wilmott}, volume = {2021}, number = {111}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10900}, doi = {10.1002/wilm.10900}, pages = {14--15}, year = {2021}, abstract = {Payoff formulas are largely irrelevant in a court of law.)}, } - R. Poulsen, “Tales of the expected,” Wilmott, vol. 2021, iss. 111, p. 16–18, 2021.
[Bibtex] [Abstract]
One‐period, finite‐state models are still a rich source for understanding basic and not‐so‐basic financial principles and the workings of markets.
@article {WILM:WILM10901, author = {Poulsen, Rolf}, title = {Tales of the Expected}, journal = {Wilmott}, volume = {2021}, number = {111}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10901}, doi = {10.1002/wilm.10901}, pages = {16--18}, year = {2021}, abstract = {One‐period, finite‐state models are still a rich source for understanding basic and not‐so‐basic financial principles and the workings of markets.}, } - G. Lusignani, L. Pettinari, and R. Tedeschi, “Npls: a new asset class?,” Wilmott, vol. 2021, iss. 111, p. 19–31, 2021.
[Bibtex] [Abstract]
Guiseppe Lusignani, Luca Pettinari, and Riccardo Tedeschi introduce a top‐down parsimonious model for simulating the recoveries of both secured and unsecured non‐performing loan (NPL) portfolios and a pricing approach to estimate the fair value of NPL securitization notes issues by ABS vehicles.
@article {WILM:WILM10902, author = {Lusignani, Guiseppe and Pettinari, Luca and Tedeschi, Riccardo}, title = {NPLs: A New Asset Class?}, journal = {Wilmott}, volume = {2021}, number = {111}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10902}, doi = {10.1002/wilm.10902}, pages = {19--31}, year = {2021}, abstract = {Guiseppe Lusignani, Luca Pettinari, and Riccardo Tedeschi introduce a top‐down parsimonious model for simulating the recoveries of both secured and unsecured non‐performing loan (NPL) portfolios and a pricing approach to estimate the fair value of NPL securitization notes issues by ABS vehicles.}, } - E. Ayache, “A truthful generalization of black‐scholes‐merton,” Wilmott, vol. 2021, iss. 111, p. 32–43, 2021.
[Bibtex] [Abstract]
BSM was never equipped to face an options market. The formula doesn't know what an options market is and even less so what the meaning of inverting the formula and implying volatility from the option market price could possibly be.
@article {WILM:WILM10903, author = {Ayache, Elie}, title = {A Truthful Generalization of Black‐Scholes‐Merton}, journal = {Wilmott}, volume = {2021}, number = {111}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10903}, doi = {10.1002/wilm.10903}, pages = {32--43}, year = {2021}, abstract = {BSM was never equipped to face an options market. The formula doesn't know what an options market is and even less so what the meaning of inverting the formula and implying volatility from the option market price could possibly be.}, } - T. Lee, J. Lee, and C. Kevin, “The end of carry?,” Wilmott, vol. 2021, iss. 111, p. 44–53, 2021.
[Bibtex] [Abstract]
In their 2019 book, The Rise of Carry, Tim Lee, Jamie Lee, and Kevin Coldiron proposed that the financial markets are subject to a ‘carry regime’ in which the dominant transaction is the carry trade ‐ trades that are short volatility, leveraged, liquidity providing, and prone to long periods of positive returns interspersed with dramatic crashes. The rise of this regime has been supported (perhaps unwittingly) by governments and central banks. In this article, the authors review the behavior of markets in 2020 through the lens of this hypothesis.
@article {WILM:WILM10904, author = {Lee, Tim and Lee, Jamie and Kevin, Coldiron}, title = {The End of Carry?}, journal = {Wilmott}, volume = {2021}, number = {111}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10904}, doi = {10.1002/wilm.10904}, pages = {44--53}, year = {2021}, abstract = {In their 2019 book, The Rise of Carry, Tim Lee, Jamie Lee, and Kevin Coldiron proposed that the financial markets are subject to a ‘carry regime’ in which the dominant transaction is the carry trade ‐ trades that are short volatility, leveraged, liquidity providing, and prone to long periods of positive returns interspersed with dramatic crashes. The rise of this regime has been supported (perhaps unwittingly) by governments and central banks. In this article, the authors review the behavior of markets in 2020 through the lens of this hypothesis.}, } - B. Ziemba, “The covid‐19 triple crown, 2020,” Wilmott, vol. 2021, iss. 111, p. 54–62, 2021.
[Bibtex] [Abstract]
We're off to the races again but what a year 2020 was!
@article {WILM:WILM10905, author = {Ziemba, Bill}, title = {The Covid‐19 Triple Crown, 2020}, journal = {Wilmott}, volume = {2021}, number = {111}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10905}, doi = {10.1002/wilm.10905}, pages = {54--62}, year = {2021}, abstract = {We're off to the races again but what a year 2020 was!}, } - A. Karami, R. Benichou, M. Benzaquen, and J. Bouchaud, “Conditional correlations and principal regression analysis for futures,” Wilmott, vol. 2021, iss. 111, p. 63–73, 2021.
[Bibtex] [Abstract]
We explore the effect of past market movements on the instantaneous correlations between assets within the futures market. Quantifying this effect is of interest to estimate and manage the risk associated to portfolios of futures in a non‐stationary context. We apply and extend a previously reported method called the Principal Regression Analysis (PRA) to a universe of 84 futures contracts between 2009 and 2019. We show that the past up (resp. down) 10‐day trends of a novel predictor ‐‐ the eigen‐factor ‐‐ tend to reduce (resp. increase) instantaneous correlations. We then carry out a multifactor PRA on sectorial predictors corresponding to the four futures sectors (indexes, commodities, bonds and currencies), and show that the effect of past market movements on the future variations of the instantaneous correlations can be decomposed into two significant components. The first component is due to the market movements within the index sector, while the second component is due to the market movements within the bonds sector.
@article {WILM:WILM10906, author = {Karami, Armine and Benichou, Raphael and Benzaquen, Michael and Bouchaud, Jean‐Philippe}, title = {Conditional Correlations and Principal Regression Analysis for Futures}, journal = {Wilmott}, volume = {2021}, number = {111}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10906}, doi = {10.1002/wilm.10906}, pages = {63--73}, keywords = {conditional correlations, futures, principal regression analysis, risk, nonstationarity}, year = {2021}, abstract = {We explore the effect of past market movements on the instantaneous correlations between assets within the futures market. Quantifying this effect is of interest to estimate and manage the risk associated to portfolios of futures in a non‐stationary context. We apply and extend a previously reported method called the Principal Regression Analysis (PRA) to a universe of 84 futures contracts between 2009 and 2019. We show that the past up (resp. down) 10‐day trends of a novel predictor ‐‐ the eigen‐factor ‐‐ tend to reduce (resp. increase) instantaneous correlations. We then carry out a multifactor PRA on sectorial predictors corresponding to the four futures sectors (indexes, commodities, bonds and currencies), and show that the effect of past market movements on the future variations of the instantaneous correlations can be decomposed into two significant components. The first component is due to the market movements within the index sector, while the second component is due to the market movements within the bonds sector.}, } - M. Zeron and I. Ruiz, “Denting the frtb‐ima computational challenge via orthogonal chebyshev sliding technique,” Wilmott, vol. 2021, iss. 111, p. 74–93, 2021.
[Bibtex] [Abstract]
In this paper we introduce a new technique based on high‐dimensional Chebyshev Tensors that we call orthogonal Chebyshev sliding technique. We implemented this technique inside the systems of a tier‐one bank, and used it to approximate Front Office pricing functions in order to reduce the substantial computational burden associated with the capital calculation as specified by FRTB IMA. In all cases, the computational burden reductions obtained were of more than 90 percent, while keeping high degrees of accuracy. The latter obtained as a result of the mathematical properties enjoyed by Chebyshev tensors.
@article {WILM:WILM10907, author = {Zeron, Mariano and Ruiz, Ignacio}, title = {Denting the FRTB‐IMA Computational Challenge via Orthogonal Chebyshev Sliding Technique}, journal = {Wilmott}, volume = {2021}, number = {111}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10907}, doi = {10.1002/wilm.10907}, pages = {74--93}, keywords = {market risk, FRTB‐IMA, Chebyshev tensors, risk management}, year = {2021}, abstract = {In this paper we introduce a new technique based on high‐dimensional Chebyshev Tensors that we call orthogonal Chebyshev sliding technique. We implemented this technique inside the systems of a tier‐one bank, and used it to approximate Front Office pricing functions in order to reduce the substantial computational burden associated with the capital calculation as specified by FRTB IMA. In all cases, the computational burden reductions obtained were of more than 90 percent, while keeping high degrees of accuracy. The latter obtained as a result of the mathematical properties enjoyed by Chebyshev tensors.}, } - M. Radley, “Cars,” Wilmott, vol. 2021, iss. 111, p. 94–95, 2021.
[Bibtex] [Abstract]
Ferrari lets more ponies out of the stable with its first‐ever plug‐in hybrid exotic.
@article {WILM:WILM10908, author = {Radley, Milford}, title = {Cars}, journal = {Wilmott}, volume = {2021}, number = {111}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10908}, doi = {10.1002/wilm.10908}, pages = {94--95}, year = {2021}, abstract = {Ferrari lets more ponies out of the stable with its first‐ever plug‐in hybrid exotic.}, } - J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2021, iss. 111, p. 96–96, 2021.
[Bibtex]@article {WILM:WILM10909, author = {Darasz, Jan}, title = {The skewed world of Jan Darasz}, journal = {Wilmott}, volume = {2021}, number = {111}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10909}, doi = {10.1002/wilm.10909}, pages = {96--96}, year = {2021}, }
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