Volume 2018, Issue 96. Pages 1–60
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In this issue:
Bibliography
- “Contents,” Wilmott, vol. 2018, iss. 96, pp. 1-1.
[Bibtex]@article{doi:10.1002/wilm.10680, title = {Contents}, journal = {Wilmott}, volume = {2018},number = {96},pages = {1-1},doi = {10.1002/wilm.10680},url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10680}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10680}} - D. Tudball, “Faster than a flicker,” Wilmott, vol. 2018, iss. 96, pp. 2-3.
[Bibtex] [Abstract]
Applying parametric integration using MLMC to significantly reduce the computational time for CVA calibration, such as needed for RS and for computing worst-case bounds for WWR.
@article{doi:10.1002/wilm.10681, author = {Tudball, Dan}, title = {Faster Than a Flicker}, journal = {Wilmott}, volume = {2018}, number = {96}, pages = {2-3}, doi = {10.1002/wilm.10681}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10681}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10681}, abstract = {Applying parametric integration using MLMC to significantly reduce the computational time for CVA calibration, such as needed for RS and for computing worst-case bounds for WWR.}} - “News,” Wilmott, vol. 2018, iss. 96, pp. 4-5.
[Bibtex]@article{doi:10.1002/wilm.10682, title = {News}, journal = {Wilmott}, volume = {2018}, number = {96}, pages = {4-5}, doi = {10.1002/wilm.10682}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10682}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10682}} - A. Brown, “Inverting the sp500,” Wilmott, vol. 2018, iss. 96, pp. 6-9.
[Bibtex] [Abstract]
Inverse market cap weighting is a gimmick. Isn’t it?
@article{doi:10.1002/wilm.10683, author = {Brown, Aaron}, title = {Inverting the SP500}, journal = {Wilmott}, volume = {2018}, number = {96}, pages = {6-9}, doi = {10.1002/wilm.10683}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10683}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10683}, abstract = {Inverse market cap weighting is a gimmick. Isn't it?}} - E. G. Haug, “Philosophy of randomness: limited or unlimited randomness?,” Wilmott, vol. 2018, iss. 96, pp. 10-13.
[Bibtex] [Abstract]
In this short article, we will not give you the answers, but just some ideas to feed your brain and raise some questions that you can consider further on your own.
@article{doi:10.1002/wilm.10684, author = {Haug, Espen Gaarder}, title = {Philosophy of Randomness: Limited or Unlimited Randomness?}, journal = {Wilmott}, volume = {2018}, number = {96}, pages = {10-13}, doi = {10.1002/wilm.10684}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10684}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10684}, abstract = {In this short article, we will not give you the answers, but just some ideas to feed your brain and raise some questions that you can consider further on your own.} } - S. Das, “A history of the currency wars,” Wilmott, vol. 2018, iss. 96, pp. 14-17.
[Bibtex] [Abstract]
Using currencies as an economic tool suffers from the fundamental problem that it only works if one country resorts to devaluation.
@article{doi:10.1002/wilm.10685, author = {Das, Satyajit}, title = {A History of the Currency Wars}, journal = {Wilmott}, volume = {2018}, number = {96}, pages = {14-17}, doi = {10.1002/wilm.10685}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10685}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10685}, abstract = {Using currencies as an economic tool suffers from the fundamental problem that it only works if one country resorts to devaluation.} } - S. Krishnamurty, “Blockchain for business,” Wilmott, vol. 2018, iss. 96, pp. 18-19.
[Bibtex] [Abstract]
“So, how do we buy some of these Blockchains for our portfolio?”
@article{doi:10.1002/wilm.10686, author = {Krishnamurty, Sri}, title = {Blockchain for Business}, journal = {Wilmott}, volume = {2018}, number = {96}, pages = {18-19}, doi = {10.1002/wilm.10686}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10686}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10686}, abstract = {“So, how do we buy some of these Blockchains for our portfolio?”} } - U. Wystup, “Structuring an inverse dual currency investment,” Wilmott, vol. 2018, iss. 96, pp. 20-21.
[Bibtex] [Abstract]
How to do it, and whether it will drive you insane…
@article{doi:10.1002/wilm.10687, author = {Wystup, Uwe}, title = {Structuring an Inverse Dual Currency Investment}, journal = {Wilmott}, volume = {2018}, number = {96}, pages = {20-21}, doi = {10.1002/wilm.10687}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10687}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10687}, abstract = {How to do it, and whether it will drive you insane…} } - R. Bogni, “Goldilocks and the three bears,” Wilmott, vol. 2018, iss. 96, pp. 22-23.
[Bibtex] [Abstract]
The Goldilocks periods that my post-World War II generation enjoyed on and off might not be so frequent for the millennials and Generation Z.
@article{doi:10.1002/wilm.10688, author = {Bogni, Rudi}, title = {Goldilocks and the Three Bears}, journal = {Wilmott}, volume = {2018}, number = {96}, pages = {22-23}, doi = {10.1002/wilm.10688}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10688}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10688}, abstract = {The Goldilocks periods that my post-World War II generation enjoyed on and off might not be so frequent for the millennials and Generation Z.} } - M. Hofer and P. Karlson, “Accelerating xva calibration using multi-level monte carlo,” Wilmott, vol. 2018, iss. 96, pp. 24-33.
[Bibtex] [Abstract]
Patrik Karlson and Markus Hofer introduce multi-level Monte Carlo (MLMC) in the context of CVA.
@article{doi:10.1002/wilm.10689, author = {Hofer, Markus and Karlson, Patrik}, title = {Accelerating XVA Calibration Using Multi-level Monte Carlo}, journal = {Wilmott}, volume = {2018}, number = {96}, pages = {24-33}, doi = {10.1002/wilm.10689}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10689}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10689}, abstract = {Patrik Karlson and Markus Hofer introduce multi-level Monte Carlo (MLMC) in the context of CVA.} } - B. Ziemba, “The pegasus world cup ii,” Wilmott, vol. 2018, iss. 96, pp. 34-41.
[Bibtex] [Abstract]
Of amicable ego contests and outdoing wizards…
@article{doi:10.1002/wilm.10690, author = {Ziemba, Bill}, title = {The Pegasus World Cup II}, journal = {Wilmott}, volume = {2018}, number = {96}, pages = {34-41}, doi = {10.1002/wilm.10690}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10690}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10690}, abstract = {Of amicable ego contests and outdoing wizards…} } - R. Poulsen, “Iv leaks,” Wilmott, vol. 2018, iss. 96, pp. 42-45.
[Bibtex] [Abstract]
The IV bit of the title means implied volatility; the connotations of the full title I leave to the reader.
@article{doi:10.1002/wilm.10691, author = {Poulsen, Rolf}, title = {IV Leaks}, journal = {Wilmott}, volume = {2018}, number = {96}, pages = {42-45}, doi = {10.1002/wilm.10691}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10691}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10691}, abstract = {The IV bit of the title means implied volatility; the connotations of the full title I leave to the reader.} } - D. J. Duffy and M. Katajamäki, “Software interoperability in computational finance, part i: foundations for applications using c++11 and c\# in the .net framework,” Wilmott, vol. 2018, iss. 96, pp. 46-53.
[Bibtex] [Abstract]
This paper is the first in a series of two papers on the design of software systems in computational finance. Both papers are concerned with applications using a combination of C++, C\#, and C++/CLI in the Microsoft .NET Framework. In this first paper we discuss how to write and reuse code that has been written using a mixture of native C++, C\#, and C++/CLI. In particular, we can call native C++ code from C\# and we can call C\# code from native C++. The language that makes this level of interoperability possible is C++/CLI.
@article{doi:10.1002/wilm.10692, author = {Duffy, Daniel J. and Katajamäki, Mikael}, title = {Software Interoperability in Computational Finance, Part I: Foundations for Applications Using C++11 and C\# in the .NET Framework}, journal = {Wilmott}, volume = {2018}, number = {96}, pages = {46-53}, keywords = {native C++, C#, C++/CLI, interoperable and reusable code, multi-language applications, Excel, legacy systems}, doi = {10.1002/wilm.10692}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10692}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10692}, abstract = {This paper is the first in a series of two papers on the design of software systems in computational finance. Both papers are concerned with applications using a combination of C++, C\#, and C++/CLI in the Microsoft .NET Framework. In this first paper we discuss how to write and reuse code that has been written using a mixture of native C++, C\#, and C++/CLI. In particular, we can call native C++ code from C\# and we can call C\# code from native C++. The language that makes this level of interoperability possible is C++/CLI.} } - J. Healy, “Variance reduction of ordinary monte-carlo estimates with the brownian-bridge path construction,” Wilmott, vol. 2018, iss. 96, pp. 54-57.
[Bibtex] [Abstract]
It is well known that the Brownian-bridge path construction is usually very effective at reducing the variance of quasi Monte-Carlo estimates, with some exceptions – cliquet options in particular. It will however not change the variance of the value of a financial derivative contract obtained by a standard Monte-Carlo simulation, where pseudo-random numbers are used instead of quasi-random numbers (or low discrepancy sequences such as the Sobol sequence). We will see here that the Brownian-bridge path construction can still significantly reduce the variance of the Theta estimate, that is the sensitivity towards time of a financial derivative contract, even without relying on quasi-random numbers.
@article{doi:10.1002/wilm.10693, author = {Healy, Jherek}, title = {Variance Reduction of Ordinary Monte-Carlo Estimates with the Brownian-Bridge Path Construction}, journal = {Wilmott}, volume = {2018}, number = {96}, pages = {54-57}, keywords = {quantitative finance, Sobol, Brownian-bridge, Monte Carlo, variance reduction}, doi = {10.1002/wilm.10693}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10693}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10693}, abstract = {It is well known that the Brownian-bridge path construction is usually very effective at reducing the variance of quasi Monte-Carlo estimates, with some exceptions – cliquet options in particular. It will however not change the variance of the value of a financial derivative contract obtained by a standard Monte-Carlo simulation, where pseudo-random numbers are used instead of quasi-random numbers (or low discrepancy sequences such as the Sobol sequence). We will see here that the Brownian-bridge path construction can still significantly reduce the variance of the Theta estimate, that is the sensitivity towards time of a financial derivative contract, even without relying on quasi-random numbers.} } - M. Radley, “Cars,” Wilmott, vol. 2018, iss. 96, pp. 58-59.
[Bibtex] [Abstract]
Lamborghini is late to a party that many thought it would never join — the launch of a sports utility vehicle. But does the Urus change everything the supercar brand stands for?
@article{doi:10.1002/wilm.10694, author = {Radley, Milford}, title = {Cars}, journal = {Wilmott}, volume = {2018}, number = {96}, pages = {58-59}, doi = {10.1002/wilm.10694}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10694}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10694}, abstract = {Lamborghini is late to a party that many thought it would never join — the launch of a sports utility vehicle. But does the Urus change everything the supercar brand stands for?} } - J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2018, iss. 96, pp. 60-60.
[Bibtex]@article{doi:10.1002/wilm.10695, author = {Darasz, Jan}, title = {The skewed world of Jan Darasz}, journal = {Wilmott}, volume = {2018}, number = {96}, pages = {60-60}, doi = {10.1002/wilm.10695}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10695}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10695}}
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