@article{WILM:WILM12145,

title = {Contents},

author = {D Tudball},

url = {http://dx.doi.org/10.54946/wilm.12145},

doi = {10.54946/wilm.12145},

issn = {1541-8286},

year  = {2025},

date = {2025-01-01},

journal = {Wilmott},

volume = {2025},

number = {138},

publisher = {Wilmott Magazine, Ltd},

abstract = {Contents},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12146,

title = {It All Depends on You},

author = {D Tudball},

url = {http://dx.doi.org/10.54946/wilm.12146},

doi = {10.54946/wilm.12146},

issn = {1541-8286},

year  = {2025},

date = {2025-01-01},

journal = {Wilmott},

volume = {2025},

number = {138},

publisher = {Wilmott Magazine, Ltd},

abstract = {A property of asset price behavior, where the expected variance over a period is related to price change over the same period by a simple quadratic equation, whose only parameter is a base volatility},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12147,

title = {News},

author = {D Tudball},

url = {http://dx.doi.org/10.54946/wilm.12147},

doi = {10.54946/wilm.12147},

issn = {1541-8286},

year  = {2025},

date = {2025-01-01},

journal = {Wilmott},

volume = {2025},

number = {138},

publisher = {Wilmott Magazine, Ltd},

abstract = {News},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12148,

title = {The Revival of the Volatility Risk Premium},

author = {I Bouchouev},

url = {http://dx.doi.org/10.54946/wilm.12148},

doi = {10.54946/wilm.12148},

issn = {1541-8286},

year  = {2025},

date = {2025-01-01},

journal = {Wilmott},

volume = {2025},

number = {138},

publisher = {Wilmott Magazine, Ltd},

abstract = {In recent years, selling options has returned to the remarkable profitability that was once a hallmark of the business. This article serves as an introduction to options in the oil market, explaining strong performance in light of changing composition of market participants.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12149,

title = {In Defense of Bubbles},

author = {A Brown and R Dewey},

url = {http://dx.doi.org/10.54946/wilm.12149},

doi = {10.54946/wilm.12149},

issn = {1541-8286},

year  = {2025},

date = {2025-01-01},

journal = {Wilmott},

volume = {2025},

number = {138},

publisher = {Wilmott Magazine, Ltd},

abstract = {Bubbles aren’t all bad, just learn to identify the ones that can lead to innovation and economic growth.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12150,

title = {Signs of Errors and Vice Versa},

author = {R Poulsen},

url = {http://dx.doi.org/10.54946/wilm.12150},

doi = {10.54946/wilm.12150},

issn = {1541-8286},

year  = {2025},

date = {2025-01-01},

journal = {Wilmott},

volume = {2025},

number = {138},

publisher = {Wilmott Magazine, Ltd},

abstract = {Of bad algebra, bad calculus, and bad conventions.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12151,

title = {Why Digitals don’t Have all Percentage Price Quotes},

author = {U Wystup},

url = {http://dx.doi.org/10.54946/wilm.12151},

doi = {10.54946/wilm.12151},

issn = {1541-8286},

year  = {2025},

date = {2025-01-01},

journal = {Wilmott},

volume = {2025},

number = {138},

publisher = {Wilmott Magazine, Ltd},

abstract = {On initial examination, it might seem contradictory that digitals can’t quote for both currencies in percentages but the asker should consider whether they are looking for something that is indeed there to be found.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12152,

title = {Combining Generative AI and Computation for Financial Decision-Making},

author = {D Krastev},

url = {http://dx.doi.org/10.54946/wilm.12152},

doi = {10.54946/wilm.12152},

issn = {1541-8286},

year  = {2025},

date = {2025-01-01},

journal = {Wilmott},

volume = {2025},

number = {138},

publisher = {Wilmott Magazine, Ltd},

abstract = {We have seen how symbolic AI parses natural language with rules. Generative AI adds fluency but lacks reliability in areas like finance. Combining both can create precise, trustworthy systems for decision-making.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12153,

title = {On the Relative Packing Densities of Pistachios and Pistachio Shells},

author = {R Zakine and M Benzaquen},

url = {http://dx.doi.org/10.54946/wilm.12153},

doi = {10.54946/wilm.12153},

issn = {1541-8286},

year  = {2025},

date = {2025-01-01},

journal = {Wilmott},

volume = {2025},

number = {138},

publisher = {Wilmott Magazine, Ltd},

abstract = {Given an appetizer bowl full of N pistachios, what is the optimal size of the container \textendash neither too small, nor too big \textendash needed for accommodating the resulting 2N non-edible pistachio shells? Performing a simple experiment the authors find that, provided the shells are densely packed, such a container needs only be slightly more than half (≈ 0.57) that of the original pistachio bowl. If loosely packed this number increases to ≈ 0.73. The results are discussed in light of existing literature on packing ellipsoids and spherical shells.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12154,

title = {Q-Variance: or, a Duet Concerning the Two Chief World Systems },

author = {P Wilmott and D Orrell},

url = {http://dx.doi.org/10.54946/wilm.12154},

doi = {10.54946/wilm.12154},

issn = {1541-8286},

year  = {2025},

date = {2025-01-01},

journal = {Wilmott},

volume = {2025},

number = {138},

publisher = {Wilmott Magazine, Ltd},

abstract = {David Orrell, while writing a book on the history of money, came up with the idea of applying quantum ideas to finance. Without looking at any data, he made a prediction about the behavior of volatility. In the spirit of a true scientist and almost unique in finance, he went on to test this prediction. Here, David and Paul Wilmott discuss what happened next. There is also a request for assistance from the readers. The full paper follows this dialogue.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12155,

title = {A Quantum of Variance, and the Challenge for Finance},

author = {David Orrell},

url = {http://dx.doi.org/10.54946/wilm.12155},

doi = {10.54946/wilm.12155},

issn = {1541-8286},

year  = {2025},

date = {2025-01-01},

urldate = {2025-01-01},

journal = {Wilmott},

volume = {2025},

number = {138},

publisher = {Wilmott Magazine, Ltd},

abstract = {Q-variance refers to a property of asset price behavior, where the expected variance over a period is related to price change over the same period by a simple quadratic equation, whose only parameter is a base volatility. The property was first predicted using a quantum oscillator model (the q can stand for quadratic, or quantum) but has been demonstrated empirically for a range of asset types. This paper focuses on the consequences of q-variance for topics including asset price modeling, implied volatility, and the estimation of risk. It argues that while classical finance provides a reasonable approximation to some aspects of market behavior, q-variance means that it breaks down when used to estimate volatility, so a new approach is called for.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12156,

title = {The Great Unravelling - Part 1: Economic \& Financial Furies},

author = {S Das},

url = {http://dx.doi.org/10.54946/wilm.12156},

doi = {10.54946/wilm.12156},

issn = {1541-8286},

year  = {2025},

date = {2025-01-01},

journal = {Wilmott},

volume = {2025},

number = {138},

publisher = {Wilmott Magazine, Ltd},

abstract = {Part 1 of this two-part series looks at the factors that may make a new financial crisis inevitable. Part 2 will look at the transmission of shocks, resilience, and the capacity to respond to contain a new emergency.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12157,

title = {Hedging American/Bermudan in the age of Statistical Learning - Incomplete Markets},

author = {J Kienitz},

url = {http://dx.doi.org/10.54946/wilm.12157},

doi = {10.54946/wilm.12157},

issn = {1541-8286},

year  = {2025},

date = {2025-01-01},

journal = {Wilmott},

volume = {2025},

number = {138},

publisher = {Wilmott Magazine, Ltd},

abstract = {In this column, we show how to apply the GMMR Hedge method to the pricing of American/Bermudan options and compare it to the well known LSM approach. Furthermore, we use the properties available within this methodology to apply it to the calibration of Stochastic Local Volatility models.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12158,

title = {Predictable Profitability},

author = {D Thomakos and J Guerard},

url = {http://dx.doi.org/10.54946/wilm.12158},

doi = {10.54946/wilm.12158},

issn = {1541-8286},

year  = {2025},

date = {2025-01-01},

journal = {Wilmott},

volume = {2025},

number = {138},

publisher = {Wilmott Magazine, Ltd},

abstract = {Following up on earlier research, Dimitros Thomakos and John Guerard show what modeling differences lead to predictable profitability vis-\`{a}-vis pure predictability},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12159,

title = {Quantized Supply and Demand},

author = {D Orrell},

url = {http://dx.doi.org/10.54946/wilm.12159},

doi = {10.54946/wilm.12159},

issn = {1541-8286},

year  = {2025},

date = {2025-01-01},

journal = {Wilmott},

volume = {2025},

number = {138},

publisher = {Wilmott Magazine, Ltd},

abstract = {In this extract from Chapter 11 of David Orrell’s book, Quantum Economics and Finance, we shift the question of the relationship between supply and demand to an explicitly quantum framework.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12160,

title = {Defaultable Bond Liquidity Spread Estimation: an Option-Based Approach},

author = {Rossi R Tedeschi and P Spezzati},

url = {http://dx.doi.org/10.54946/wilm.12160},

doi = {10.54946/wilm.12160},

issn = {1541-8286},

year  = {2025},

date = {2025-01-01},

journal = {Wilmott},

volume = {2025},

number = {138},

publisher = {Wilmott Magazine, Ltd},

abstract = {This paper extends an option-theoretic approach to estimate liquidity spreads for corporate bonds. Inspired by Longstaff's equity market framework and subsequent work by Koziol and Sauerbier on risk-free zero-coupon bonds, the model views liquidity as a look-back option. The model accounts for the interplay of risk-free rate volatility and credit risk. A numerical analysis highlights the impact of these factors on the liquidity spread, particularly for bonds with different maturities and credit ratings. The methodology is applied to estimate the liquidity spread for unquoted bonds, with a specific case study on the Republic of Italy's debt, leveraging market data to calibrate model parameters and classify liquid versus illiquid emissions. This approach provides a robust tool for pricing illiquid bonds, emphasizing the importance of marketability in debt security valuation.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12161,

title = {Shrinking Feeling/Beautiful Bruiser},

author = {M Radley},

url = {http://dx.doi.org/10.54946/wilm.12161},

doi = {10.54946/wilm.12161},

issn = {1541-8286},

year  = {2025},

date = {2025-01-01},

journal = {Wilmott},

volume = {2025},

number = {138},

publisher = {Wilmott Magazine, Ltd},

abstract = {Ferrari’s latest hybrid hypercar loses several cylinders but gains a lot of horsepower in their place.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{WILM:WILM12162,

title = {The Skewed World of Jan Darasz},

author = {Jan Darasz},

url = {http://dx.doi.org/10.54946/wilm.12162},

doi = {10.54946/wilm.12162},

issn = {1541-8286},

year  = {2025},

date = {2025-01-01},

urldate = {2025-01-01},

journal = {Wilmott},

volume = {2025},

number = {138},

publisher = {Wilmott Magazine, Ltd},

abstract = {Cartoon},

keywords = {},

pubstate = {published},

tppubtype = {article}

}