Wilmott Magazine: July 2019 issue

Volume 2019, Issue 102. Pages 1–84

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

In this issue:

Bibliography

  • [DOI] “Contents,” Wilmott, vol. 2019, iss. 102, p. 1–1, 2019.
    [Bibtex]
    @article {WILM:WILM10767,
    title = {Contents},
    journal = {Wilmott},
    volume = {2019},
    number = {102},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10767},
    doi = {10.1002/wilm.10767},
    pages = {1--1},
    year = {2019},
    }
  • [DOI] D. Tudball, “No babe in the wild wild wood,” Wilmott, vol. 2019, iss. 102, p. 2–3, 2019.
    [Bibtex]
    @article {WILM:WILM10768,
    author = {Tudball, Dan},
    title = {No Babe in the Wild Wild Wood},
    journal = {Wilmott},
    volume = {2019},
    number = {102},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10768},
    doi = {10.1002/wilm.10768},
    pages = {2--3},
    year = {2019},
    abstract = {In a challenging bulk test, the Andersen‐Lake method is, on average, about ten orders of magnitude more precise tan standard adaptive Gauss‐Lobatto quadrature, and is also far more robust.},
    }
  • [DOI] “News,” Wilmott, vol. 2019, iss. 102, p. 4–7, 2019.
    [Bibtex]
    @article {WILM:WILM10769,
    title = {News},
    journal = {Wilmott},
    volume = {2019},
    number = {102},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10769},
    doi = {10.1002/wilm.10769},
    pages = {4--7},
    year = {2019},
    }
  • [DOI] R. Poulsen, “Collected brexit anecdotes,” Wilmott, vol. 2019, iss. 102, p. 8–9, 2019.
    [Bibtex]
    @article {WILM:WILM10770,
    author = {Poulsen, Rolf},
    title = {Collected Brexit Anecdotes},
    journal = {Wilmott},
    volume = {2019},
    number = {102},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10770},
    doi = {10.1002/wilm.10770},
    pages = {8--9},
    year = {2019},
    abstract = {Brexit is the gift that keeps giving. Lean back and let me tell you some stories.},
    }
  • [DOI] U. Wystup, “Mustache to touch,” Wilmott, vol. 2019, iss. 102, p. 10–11, 2019.
    [Bibtex]
    @article {WILM:WILM10771,
    author = {Wystup, Uwe},
    title = {Mustache to Touch},
    journal = {Wilmott},
    volume = {2019},
    number = {102},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10771},
    doi = {10.1002/wilm.10771},
    pages = {10--11},
    year = {2019},
    abstract = {Visualizing model risk for exotics.)},
    }
  • [DOI] E. G. Haug, “High‐speed trading (hst): the trans‐atlantic submarine bridge,” Wilmott, vol. 2019, iss. 102, p. 12–17, 2019.
    [Bibtex]
    @article {WILM:WILM10772,
    author = {Haug, Espen Gaarder},
    title = {High‐Speed Trading (HST): The Trans‐Atlantic Submarine Bridge},
    journal = {Wilmott},
    volume = {2019},
    number = {102},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10772},
    doi = {10.1002/wilm.10772},
    pages = {12--17},
    year = {2019},
    abstract = {Reaching the physical limits of information transfer over distance.},
    }
  • [DOI] A. Brown, “The marriage of benjamin graham and satoshi nakamoto,” Wilmott, vol. 2019, iss. 102, p. 18–21, 2019.
    [Bibtex]
    @article {WILM:WILM10773,
    author = {Brown, Aaron},
    title = {The Marriage of Benjamin Graham and Satoshi Nakamoto},
    journal = {Wilmott},
    volume = {2019},
    number = {102},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10773},
    doi = {10.1002/wilm.10773},
    pages = {18--21},
    year = {2019},
    abstract = {The story of the Venezuelan cryptocurrency El Petro turns out to be more magic realist than just pure fable.},
    }
  • [DOI] L. B. G. Andersen and M. Lake, “Heston….again?! robust high‐precision option pricing by fourier transforms: contour deformations and double‐exponential quadrature,” Wilmott, vol. 2019, iss. 102, p. 22–41, 2019.
    [Bibtex]
    @article {WILM:WILM10774,
    author = {Andersen, Leif B. G. and Lake, Mark},
    title = {Heston….Again?! Robust High‐Precision Option Pricing by Fourier Transforms: Contour Deformations and Double‐Exponential Quadrature},
    journal = {Wilmott},
    volume = {2019},
    number = {102},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10774},
    doi = {10.1002/wilm.10774},
    pages = {22--41},
    year = {2019},
    abstract = {Leif Andersen and Mark Lake discuss the background of their new paper “Robust High‐Precision Option Pricing by Fourier Transforms: Contour Deformations and Double‐Exponential Quadrature”.},
    }
  • [DOI] M. Staunton, “Happy xmas (war is over),” Wilmott, vol. 2019, iss. 102, p. 42–45, 2019.
    [Bibtex]
    @article {WILM:WILM10775,
    author = {Staunton, Mike},
    title = {Happy Xmas (War Is Over)},
    journal = {Wilmott},
    volume = {2019},
    number = {102},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10775},
    doi = {10.1002/wilm.10775},
    pages = {42--45},
    year = {2019},
    abstract = {Have Andersen and Lake put an end to the war to value options under the Heston stochastic volatility model?},
    }
  • [DOI] B. Ziemba, “The pegasus world cup iii: accelerate versus city of light,” Wilmott, vol. 2019, iss. 102, p. 46–59, 2019.
    [Bibtex]
    @article {WILM:WILM10776,
    author = {Ziemba, Bill},
    title = {The Pegasus World Cup III: Accelerate versus City of Light},
    journal = {Wilmott},
    volume = {2019},
    number = {102},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10776},
    doi = {10.1002/wilm.10776},
    pages = {46--59},
    year = {2019},
    abstract = {The big showdown Between Accelerate, who had many grade I wins (5 in 2018) and City of Light, Something of a meaningful matchup as both were running their final races.},
    }
  • [DOI] S. Jain, P. Karlsson, and D. Kandhai, “Kva, mind your p's and q's!,” Wilmott, vol. 2019, iss. 102, p. 60–73, 2019.
    [Bibtex]
    @article {WILM:WILM10777,
    author = {Jain, Shashi and Karlsson, Patrik and Kandhai, Drona},
    title = {KVA, Mind Your P's and Q's!},
    journal = {Wilmott},
    volume = {2019},
    number = {102},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10777},
    doi = {10.1002/wilm.10777},
    pages = {60--73},
    keywords = {capital valuation adjustment (KVA), derivative pricing, internal model method (IMM), hedging, Monte Carlo simulation, valuation adjustment (XVA)},
    year = {2019},
    abstract = {There is an increasing consensus within banks on the need to recognize the impact of rising capital requirements on their derivative business in the form of capital valuation adjustment (KVA). There are still concerns over how exactly KVA should be calculated, charged, and managed. We analyze the aspects of the costs arising due to holding of counterparty credit risk capital. This study demonstrates that banks which are careless with their KVA method and ignore actively managing it, can rake a significant loss and will eventually increase uncertainty in the shareholders' return on capital.},
    }
  • [DOI] Z. Cui, L. J. Kirkby, and D. Nguyen, “Full‐fledged sabr through markov chains,” Wilmott, vol. 2019, iss. 102, p. 74–81, 2019.
    [Bibtex]
    @article {WILM:WILM10778,
    author = {Cui, Zhenyu and Kirkby, J. Lars and Nguyen, Duy},
    title = {Full‐fledged SABR Through Markov Chains},
    journal = {Wilmott},
    volume = {2019},
    number = {102},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10778},
    doi = {10.1002/wilm.10778},
    pages = {74--81},
    keywords = {SABR, stochastic local volatility, continuous‐time Markov chains, transform method, regime switching, option pricing},
    year = {2019},
    abstract = {We present a general purpose technique for the efficient and accurate valuation of options in the shifted stochastic alpha, beta, rho (shifted‐SABR) model which includes SABR as a special case. The method is based on a novel double‐layer continuous‐time Markov chain from which closed form matrix expressions for European options are derived. We also propose a recursive risk‐neutral valuation technique for pricing discretely monitored path‐dependent options, and use it to price Bermudian and barrier options. In addition, we provide single Laplace transform formulae for discretely monitored arithmetic Asian options. Numerical experiments confirm the accuracy and efficiency of the proposed method, which is suitable for practical use.},
    }
  • [DOI] M. Radley, “Cars,” Wilmott, vol. 2019, iss. 102, p. 82–83, 2019.
    [Bibtex]
    @article {WILM:WILM10779,
    author = {Radley, Milford},
    title = {Cars},
    journal = {Wilmott},
    volume = {2019},
    number = {102},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10779},
    doi = {10.1002/wilm.10779},
    pages = {82--83},
    year = {2019},
    abstract = {The original Japanese supercar is finally back, with an all‐new design and technology fitting for the 21st century.},
    }
  • [DOI] J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2019, iss. 102, p. 84–84, 2019.
    [Bibtex]
    @article {WILM:WILM10780,
    author = {Darasz, Jan},
    title = {The skewed world of Jan Darasz},
    journal = {Wilmott},
    volume = {2019},
    number = {102},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10780},
    doi = {10.1002/wilm.10780},
    pages = {84--84},
    year = {2019},
    }

More information about Wilmott magazine, for potential subscribers and submission of articles and research papers, can be found here.