WILMOTT Magazine: January 2022 issue

Wilmott January 2022 Issue. Access Is For Subscribers Only. If you would Like To Purchase An Offline Copy Contact Us at sales@wilmott.com

Volume 2022, Issue 117. Pages 1-72

Every issue we bring you original material from some of the best columnists, educators and cutting-edge researchers. Subscribe here.

In this issue:

  • D. Tudball, “Contents,” Wilmott, vol. 2022, iss. 117, p. 1, 2022.
    [Bibtex] [Abstract]
    Contents
    @article{WILM:WILM10975,
    title = {Contents},
    author = {Tudball, Daniel},
    year = 2022,
    journal = {Wilmott},
    publisher = {Wilmott Magazine, Ltd},
    volume = 2022,
    number = 117,
    pages = 1,
    doi = {10.1002/wilm.10975},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10975},
    abstract = {Contents}
    }
  • D. Tudball, “What is a man, what has he got?,” Wilmott, vol. 2022, iss. 117, p. 2, 2022.
    [Bibtex] [Abstract]
    This issue Elie Ayache returns to complete his alternative reading of Bergomi which shed new perspectives on Rough Volatility in relation to the meaning of the Options Market
    @article{WILM:WILM10976,
    title = {What is a Man, What Has He Got?},
    author = {Tudball, Daniel},
    year = 2022,
    journal = {Wilmott},
    publisher = {Wilmott Magazine, Ltd},
    volume = 2022,
    number = 117,
    pages = 2,
    doi = {10.1002/wilm.10976},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10976},
    abstract = {This issue Elie Ayache returns to complete his alternative reading of Bergomi which shed new perspectives on Rough Volatility in relation to the meaning of the Options Market}
    }
  • D. Tudball, “News,” Wilmott, vol. 2022, iss. 117, p. 3, 2022.
    [Bibtex] [Abstract]
    News
    @article{WILM:WILM10977,
    title = {News},
    author = {Tudball, Daniel},
    year = 2022,
    journal = {Wilmott},
    publisher = {Wilmott Magazine, Ltd},
    volume = 2022,
    number = 117,
    pages = 3,
    doi = {10.1002/wilm.10977},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10977},
    abstract = {News}
    }
  • P. Wilmott, “Picture post pw & nnt,” Wilmott, vol. 2022, iss. 117, p. 4, 2022.
    [Bibtex] [Abstract]
    Pictorial
    @article{WILM:WILM10978,
    title = {Picture Post PW & NNT},
    author = {Wilmott, Paul},
    year = 2022,
    journal = {Wilmott},
    publisher = {Wilmott Magazine, Ltd},
    volume = 2022,
    number = 117,
    pages = 4,
    doi = {10.1002/wilm.10978},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10978},
    abstract = {Pictorial}
    }
  • K. Hari, “The origins and significance of market tremors,” Wilmott, vol. 2022, iss. 117, p. 5, 2022.
    [Bibtex] [Abstract]
    Explosive volatility without an exogenous explanation has become a perplexing hallmark of modern markets. Ideas from Mean Field Theory can help clarify things
    @article{WILM:WILM10979,
    title = {The Origins and Significance of Market Tremors},
    author = {Krishnan. Hari},
    year = 2022,
    journal = {Wilmott},
    publisher = {Wilmott Magazine, Ltd},
    volume = 2022,
    number = 117,
    pages = 5,
    doi = {10.1002/wilm.10979},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10979},
    abstract = {Explosive volatility without an exogenous explanation has become a perplexing hallmark of modern markets. Ideas from Mean Field Theory can help clarify things}
    }
  • A. Brown, “Gun control research,” Wilmott, vol. 2022, iss. 117, p. 6, 2022.
    [Bibtex] [Abstract]
    In Gun Control Research, Aaron shows why dealing with specific questions is hampered, though, by looking for specific answers
    @article{WILM:WILM10980,
    title = {Gun Control Research},
    author = {Brown, Aaron},
    year = 2022,
    journal = {Wilmott},
    publisher = {Wilmott Magazine, Ltd},
    volume = 2022,
    number = 117,
    pages = 6,
    doi = {10.1002/wilm.10980},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10980},
    abstract = {In Gun Control Research, Aaron shows why dealing with specific questions is hampered, though, by looking for specific answers}
    }
  • E. Thorp, “Picture post ed thorp,” Wilmott, vol. 2022, iss. 117, p. 7, 2022.
    [Bibtex] [Abstract]
    Pictorial
    @article{WILM:WILM10981,
    title = {Picture Post Ed Thorp},
    author = {Thorp, Edward},
    year = 2022,
    journal = {Wilmott},
    publisher = {Wilmott Magazine, Ltd},
    volume = 2022,
    number = 117,
    pages = 7,
    doi = {10.1002/wilm.10981},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10981},
    abstract = {Pictorial}
    }
  • U. Wystup, “Koamkieu and the psychology of derivatives in private banking,” Wilmott, vol. 2022, iss. 117, p. 8, 2022.
    [Bibtex] [Abstract]
    KOAMKIEU refers to a double barrier option, with an American knock-out (KOAM) barrier and a European knock-in barrier (KIEU)
    @article{WILM:WILM10982,
    title = {KOAMKIEU and the Psychology of Derivatives in Private Banking},
    author = {Wystup, Uwe},
    year = 2022,
    journal = {Wilmott},
    publisher = {Wilmott Magazine, Ltd},
    volume = 2022,
    number = 117,
    pages = 8,
    doi = {10.1002/wilm.10982},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10982},
    abstract = {KOAMKIEU refers to a double barrier option, with an American knock-out (KOAM) barrier and a European knock-in barrier (KIEU)}
    }
  • R. Poulsen, “Decisions, decisions, decisions,” Wilmott, vol. 2022, iss. 117, p. 9, 2022.
    [Bibtex] [Abstract]
    some examples of how missing information (often in the form of randomness) can have surprising effects on decision-making
    @article{WILM:WILM10983,
    title = {Decisions, Decisions, Decisions},
    author = {Poulsen, Rolf},
    year = 2022,
    journal = {Wilmott},
    publisher = {Wilmott Magazine, Ltd},
    volume = 2022,
    number = 117,
    pages = 9,
    doi = {10.1002/wilm.10983},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10983},
    abstract = {some examples of how missing information (often in the form of randomness) can have surprising effects on decision-making}
    }
  • E. Ayache, “God?s model vs. market models part iii: man’s model,” Wilmott, vol. 2022, iss. 117, p. 10, 2022.
    [Bibtex] [Abstract]
    take a leap of faith and reveal without delay the structure of our exchange model, or the model that we believe is the truthful generalization of BSM
    @article{WILM:WILM10984,
    title = {Gods Model vs. Market Models Part III: Man's Model},
    author = {Ayache, Elie},
    year = 2022,
    journal = {Wilmott},
    publisher = {Wilmott Magazine, Ltd},
    volume = 2022,
    number = 117,
    pages = 10,
    doi = {10.1002/wilm.10984},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10984},
    abstract = {take a leap of faith and reveal without delay the structure of our exchange model, or the model that we believe is the truthful generalization of BSM}
    }
  • B. Ziemba, “Travers day at saratoga august 28,2021 and a perfect pick 6,” Wilmott, vol. 2022, iss. 117, p. 11, 2022.
    [Bibtex] [Abstract]
    Bill Ziemba makes a substantial gain and presents us with the strategy and results
    @article{WILM:WILM10985,
    title = {Travers Day at Saratoga August 28,2021 and a perfect Pick 6},
    author = {Ziemba, Bill},
    year = 2022,
    journal = {Wilmott},
    publisher = {Wilmott Magazine, Ltd},
    volume = 2022,
    number = 117,
    pages = 11,
    doi = {10.1002/wilm.10985},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10985},
    abstract = {Bill Ziemba makes a substantial gain and presents us with the strategy and results}
    }
  • P. Cotton, “Stop shy of the first down,” Wilmott, vol. 2022, iss. 117, p. 12, 2022.
    [Bibtex] [Abstract]
    an NFL player should stop shy of the first down marker unless they can make several extra yards on the play. The decision can be clarified by calculating implied yards per possession
    @article{WILM:WILM10986,
    title = {Stop Shy of The First Down},
    author = {Cotton, Peter},
    year = 2022,
    journal = {Wilmott},
    publisher = {Wilmott Magazine, Ltd},
    volume = 2022,
    number = 117,
    pages = 12,
    doi = {10.1002/wilm.10986},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10986},
    abstract = {an NFL player should stop shy of the first down marker unless they can make several extra yards on the play. The decision can be clarified by calculating implied yards per possession}
    }
  • J. Rosenzweig, “Power-law portfolios,” Wilmott, vol. 2022, iss. 117, p. 13, 2022.
    [Bibtex] [Abstract]
    Jan Rosenzweig observes that optimization methods suffer from a catalog of known problems, mainly due to the facts that pair correlations of asset returns are unstable, and that extremal risk measures such as maximum drawdown are difficult to predict due to the non-Gaussianity of portfolio returns
    @article{WILM:WILM10987,
    title = {Power-law Portfolios},
    author = {Rosenzweig, Jan},
    year = 2022,
    journal = {Wilmott},
    publisher = {Wilmott Magazine, Ltd},
    volume = 2022,
    number = 117,
    pages = 13,
    doi = {10.1002/wilm.10987},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10987},
    abstract = {Jan Rosenzweig observes that optimization methods suffer from a catalog of known problems, mainly due to the facts that pair correlations of asset returns are unstable, and that extremal risk measures such as maximum drawdown are difficult to predict due to the non-Gaussianity of portfolio returns}
    }
  • S. Ahlawat, “Using hmm and reinforcement learning for building smarter trading strategies,” Wilmott, vol. 2022, iss. 117, p. 14, 2022.
    [Bibtex] [Abstract]
    Samit Ahlawat demonstrates the superior performance of AI-based trading strategies over static rule-based strategies. Two AI algorithms are considered for constructing the trading strategy: hidden Markov model (HMM) and asynchronous advantage actor-critic (A3C) method
    @article{WILM:WILM10988,
    title = {Using HMM and Reinforcement Learning for Building Smarter Trading Strategies},
    author = {Ahlawat, Samit},
    year = 2022,
    journal = {Wilmott},
    publisher = {Wilmott Magazine, Ltd},
    volume = 2022,
    number = 117,
    pages = 14,
    doi = {10.1002/wilm.10988},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10988},
    abstract = {Samit Ahlawat demonstrates the superior performance of AI-based trading strategies over static rule-based strategies. Two AI algorithms are considered for constructing the trading strategy: hidden Markov model (HMM) and asynchronous advantage actor-critic (A3C) method}
    }
  • M. Radley, “Heart transplant,” Wilmott, vol. 2022, iss. 117, p. 15, 2022.
    [Bibtex] [Abstract]
    Ferrari/Maserati
    @article{WILM:WILM10989,
    title = {Heart Transplant},
    author = {Radley, Milford},
    year = 2022,
    journal = {Wilmott},
    publisher = {Wilmott Magazine, Ltd},
    volume = 2022,
    number = 117,
    pages = 15,
    doi = {10.1002/wilm.10989},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10989},
    abstract = {Ferrari/Maserati}
    }
  • J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2022, iss. 117, p. 16, 2022.
    [Bibtex] [Abstract]
    Cartoon
    @article{WILM:WILM10990,
    title = {The Skewed World of Jan Darasz},
    author = {Darasz, Jan},
    year = 2022,
    journal = {Wilmott},
    publisher = {Wilmott Magazine, Ltd},
    volume = 2022,
    number = 117,
    pages = 16,
    doi = {10.1002/wilm.10990},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10990},
    abstract = {Cartoon}
    }

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