Wilmott Magazine: July 2020 issue

Volume 2020, Issue 108. Pages 1–96

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In this issue:

Bibliography

  • [DOI] “Contents,” Wilmott, vol. 2020, iss. 108, p. 1–1, 2020.
    [Bibtex]
    @article {WILM:WILM10848,
    title = {Contents},
    journal = {Wilmott},
    volume = {2020},
    number = {108},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10848},
    doi = {10.1002/wilm.10848},
    pages = {1--1},
    year = {2020},
    }
  • [DOI] D. Tudball, “Now is the hour,” Wilmott, vol. 2020, iss. 108, p. 2–3, 2020.
    [Bibtex]
    @article {WILM:WILM10849,
    author = {Tudball, Dan},
    title = {Now Is the Hour},
    journal = {Wilmott},
    volume = {2020},
    number = {108},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10849},
    doi = {10.1002/wilm.10849},
    pages = {2--3},
    year = {2020},
    abstract = {Tragically, in the early months of 2020, the markets presented an ideal opportunity to apply the approach of the 2019 paper.},
    }
  • [DOI] “News,” Wilmott, vol. 2020, iss. 108, p. 4–9, 2020.
    [Bibtex]
    @article {WILM:WILM10850,
    title = {News},
    journal = {Wilmott},
    volume = {2020},
    number = {108},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10850},
    doi = {10.1002/wilm.10850},
    pages = {4--9},
    year = {2020},
    }
  • [DOI] A. Brown, “Pandemic finance,” Wilmott, vol. 2020, iss. 108, p. 10–13, 2020.
    [Bibtex]
    @article {WILM:WILM10851,
    author = {Brown, Aaron},
    title = {Pandemic Finance},
    journal = {Wilmott},
    volume = {2020},
    number = {108},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10851},
    doi = {10.1002/wilm.10851},
    pages = {10--13},
    year = {2020},
    abstract = {Let's take a step back and ask what an omniscient and benevolent dictator would like to do in a pandemic.},
    }
  • [DOI] U. Wystup, “Vanna‐volga and the greeks,” Wilmott, vol. 2020, iss. 108, p. 14–16, 2020.
    [Bibtex]
    @article {WILM:WILM10852,
    author = {Wystup, Uwe},
    title = {Vanna‐Volga and the Greeks},
    journal = {Wilmott},
    volume = {2020},
    number = {108},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10852},
    doi = {10.1002/wilm.10852},
    pages = {14--16},
    year = {2020},
    abstract = {This column aims to elucidate just what is so special about dealing with Greeks in the vanna‐volga approach.},
    }
  • [DOI] M. Staunton, “Thanksgiving meal for americans,” Wilmott, vol. 2020, iss. 108, p. 17–19, 2020.
    [Bibtex]
    @article {WILM:WILM10853,
    author = {Staunton, Mike},
    title = {Thanksgiving Meal for Americans},
    journal = {Wilmott},
    volume = {2020},
    number = {108},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10853},
    doi = {10.1002/wilm.10853},
    pages = {17--19},
    year = {2020},
    abstract = {Leif Andersen and Mark Lake took over the July 2019 issue with their high‐precision Heston‐based pricing method, and, in my humble opinion, their paper on high‐performance American option pricing is just as important.)},
    }
  • [DOI] R. Bogni, “The black swan which was neither black nor a swan,” Wilmott, vol. 2020, iss. 108, p. 20–21, 2020.
    [Bibtex]
    @article {WILM:WILM10854,
    author = {Bogni, Rudi},
    title = {The Black Swan Which Was Neither Black Nor a Swan},
    journal = {Wilmott},
    volume = {2020},
    number = {108},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10854},
    doi = {10.1002/wilm.10854},
    pages = {20--21},
    year = {2020},
    abstract = {Managing expectations is an uncertain territory and uncharted waters, once the role of a few adventurers and explorers, is now a must for every one of us.},
    }
  • [DOI] R. Poulsen, “Basket case,” Wilmott, vol. 2020, iss. 108, p. 22–25, 2020.
    [Bibtex]
    @article {WILM:WILM10855,
    author = {Poulsen, Rolf},
    title = {Basket Case},
    journal = {Wilmott},
    volume = {2020},
    number = {108},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10855},
    doi = {10.1002/wilm.10855},
    pages = {22--25},
    year = {2020},
    abstract = {Making a case for Baskets. Let's talk Turkey.},
    }
  • [DOI] A. L. Lewis, “Volpocalypse now,” Wilmott, vol. 2020, iss. 108, p. 26–39, 2020.
    [Bibtex]
    @article {WILM:WILM10856,
    author = {Lewis, Alan L.},
    title = {Volpocalypse Now},
    journal = {Wilmott},
    volume = {2020},
    number = {108},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10856},
    doi = {10.1002/wilm.10856},
    pages = {26--39},
    year = {2020},
    abstract = {Last year Alan Lewis published a paper, Option‐based Equity Premiums, proposing that GARCH approaches to equity risk premiums be abandoned and work on the problem could be done more effectively free of models. Tragically, in the early months of 2020, the markets presented an ideal opportunity to apply the approach of the 2019 paper. In this issue we publish Alan's findings on US Equity Premiums during the COVID‐19 Pandemic. Dan Tudball speaks to the author.},
    }
  • [DOI] B. Ziemba, “The big money older horse races: pegasus, saudi cup, and dubai world cup,” Wilmott, vol. 2020, iss. 108, p. 40–53, 2020.
    [Bibtex]
    @article {WILM:WILM10857,
    author = {Ziemba, Bill},
    title = {The Big Money Older Horse Races: Pegasus, Saudi Cup, and Dubai World Cup},
    journal = {Wilmott},
    volume = {2020},
    number = {108},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10857},
    doi = {10.1002/wilm.10857},
    pages = {40--53},
    year = {2020},
    abstract = {Navigating a troubled season, experience counts.},
    }
  • [DOI] A. Werpachowska, “‘computer says no’: was your mortgage application rejected unfairly?,” Wilmott, vol. 2020, iss. 108, p. 54–61, 2020.
    [Bibtex]
    @article {WILM:WILM10858,
    author = {Werpachowska, Agnieszka},
    title = {‘Computer Says No’: Was Your Mortgage Application Rejected Unfairly?},
    journal = {Wilmott},
    volume = {2020},
    number = {108},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10858},
    doi = {10.1002/wilm.10858},
    pages = {54--61},
    keywords = {AI, machine learning, fairness, machine bias, racism, Bayesian inference},
    year = {2020},
    abstract = {‘Fairness, Accountability and Transparency in Machine Learning’ is a new field of AI science and what sounds like its examination of conscience. Are the machines tainted by the sins of their imperfect creators? In this article I review a selection of FAT/ML research aimed at ensuring fairness in some of the critical aspects of human existence. On the example of AI algorithms advising the US justice system, I demonstrate a simple statistical procedure of assessing bias in decision making, highlighting the importance of careful understanding of data and statistical concepts. Finally, I describe how FAT/ML tries to reconcile the machine transgressions in the best of possible, counterfactual reality. Should we absolve the machines and let them go and make the world a better place? I hope you will be able to answer this question yourself.},
    }
  • [DOI] P. S. Hagan, A. S. Lesniewski, and D. E. Woodeard, “Implied volatilities for mean reverting sabr models,” Wilmott, vol. 2020, iss. 108, p. 62–77, 2020.
    [Bibtex]
    @article {WILM:WILM10859,
    author = {Hagan, Patrick S. and Lesniewski, Andrew S. and Woodeard, Diana E.},
    title = {Implied Volatilities for Mean Reverting SABR Models},
    journal = {Wilmott},
    volume = {2020},
    number = {108},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10859},
    doi = {10.1002/wilm.10859},
    pages = {62--77},
    year = {2020},
    abstract = {This effective forward equation is not exact, but is accurate through O(ϵ2), the same accuracy as the SABR implied volatility formulas. Since the effective forward equation has one spatial dimension (F) instead of two (F, A), it can be solved efficiently numerically to obtain the density Q(Tex, F).European optionpricescan then be obtained by integrating to find the expected value of the option's payoff. We then use an effective media analysis to show that for any expiry Tex, we can obtain an effective forward equation with time‐independent coefficients that yields the same density Q(Tex, F) to within O(ϵ2). This yields effective SABR parameters αeff, βeff, νeff, and shows that to within O(ϵ2), the implied volatilities of European options under the λ‐SABR model are given by the implied volatility formulas for the standard SABR model using these effective SABR parameters.},
    }
  • [DOI] S. Renzitti, P. Bastani, and S. Sivorot, “Accelerating cva and cva sensitivities using quasi‐monte carlo methods,” Wilmott, vol. 2020, iss. 108, p. 78–93, 2020.
    [Bibtex]
    @article {WILM:WILM10860,
    author = {Renzitti, Stefano and Bastani, Pouya and Sivorot, Steven},
    title = {Accelerating CVA and CVA Sensitivities Using Quasi‐Monte Carlo Methods},
    journal = {Wilmott},
    volume = {2020},
    number = {108},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10860},
    doi = {10.1002/wilm.10860},
    pages = {78--93},
    keywords = {CVA, Greeks, Monte Carlo, Quasi‐Monte Carlo, Sobol' sequences},
    year = {2020},
    abstract = {We compare the efficiency of quasi‐Monte Carlo (QMC) methods to classical Monte Carlo (MC) method and MC with antithetic sampling in computing credit valuation adjustment (CVA) and CVA sensitivities for various portfolios of interest rate swaps using a multi‐currency extension to the Hull‐White model. For uncollateralized portfolios using local models, we find that QMC with Sobol' sequences and the Brownian bridge discretization can produce results as accurate as classical MC with 10,000 simulations when using on average roughly only 800 simulations, a speed‐up by a factor of 12. However, we also find that the acceleration varies significantly across portfolios (increasing with moneyness and usually, but not always, decreasing with the number of factors), calculation types (order from highest to lowest, usually, but not always, CVA and CR Deltas, IR and FX Deltas, and IR and FX Vegas), and the choice of model (local models usually outperform global models). While the Brownian bridge discretization is less effective on the collateralized portfolios, the so‐called Brownian bridge portfolio interpolation technique significantly improves the results. Randomization of Sobol' sequences, a technique shown to increase the convergence rate of QMC on a particular class of integrands, is found to be most effective on test cases with small numbers of dimensions.},
    }
  • [DOI] M. Radley, “Cars,” Wilmott, vol. 2020, iss. 108, p. 94–95, 2020.
    [Bibtex]
    @article {WILM:WILM10861,
    author = {Radley, Milford},
    title = {Cars},
    journal = {Wilmott},
    volume = {2020},
    number = {108},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10861},
    doi = {10.1002/wilm.10861},
    pages = {94--95},
    year = {2020},
    abstract = {The world's perhaps most accomplished roofless sports car gets back something its fans have been missing for a while now ‐ two extra cylinders.},
    }
  • [DOI] J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2020, iss. 108, p. 96–96, 2020.
    [Bibtex]
    @article {WILM:WILM10862,
    author = {Darasz, Jan},
    title = {The skewed world of Jan Darasz},
    journal = {Wilmott},
    volume = {2020},
    number = {108},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10862},
    doi = {10.1002/wilm.10862},
    pages = {96--96},
    year = {2020},
    }

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