Volume 2017, Issue 88. Pages 1–60
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In this issue:
- “Contents,” Wilmott, vol. 2017, iss. 88, p. 1–1, 2017.
[Bibtex]@article {WILM:WILM10570, title = {Contents}, journal = {Wilmott}, volume = {2017}, number = {88}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10570}, doi = {10.1002/wilm.10570}, pages = {1--1}, year = {2017}, } - D. Tudball, “Ed’s letter: these foolish things,” Wilmott, vol. 2017, iss. 88, p. 2–3, 2017.
[Bibtex]@article {WILM:WILM10571, author = {Tudball, Dan}, title = {Ed's Letter: These Foolish Things}, journal = {Wilmott}, volume = {2017}, number = {88}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10571}, doi = {10.1002/wilm.10571}, pages = {2--3}, year = {2017}, } - “News,” Wilmott, vol. 2017, iss. 88, p. 4–7, 2017.
[Bibtex]@article {WILM:WILM10572, title = {News}, journal = {Wilmott}, volume = {2017}, number = {88}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10572}, doi = {10.1002/wilm.10572}, pages = {4--7}, year = {2017}, } - “Product risk classification,” Wilmott, vol. 2017, iss. 88, p. 8–9, 2017.
[Bibtex] [Abstract]
Marc Aeberhard, Michael Aichinger, and Andreas Binder discuss UnRisk’s pragmatic approach to mapping market, credit, and liquidity risk to a single rating score.
@article {WILM:WILM10573, title = {Product Risk Classification}, journal = {Wilmott}, volume = {2017}, number = {88}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10573}, doi = {10.1002/wilm.10573}, pages = {8--9}, year = {2017}, abstract = {Marc Aeberhard, Michael Aichinger, and Andreas Binder discuss UnRisk's pragmatic approach to mapping market, credit, and liquidity risk to a single rating score.}, } - R. Bogni, “Do not believe the markets. everything is not well,” Wilmott, vol. 2017, iss. 88, p. 10–11, 2017.
[Bibtex] [Abstract]
Today, my affirmation of the moral and factual primacy of democracy seems to be counter to reality.
@article {WILM:WILM10574, author = {Bogni, Rudi}, title = {Do Not Believe the Markets. Everything Is Not Well}, journal = {Wilmott}, volume = {2017}, number = {88}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10574}, doi = {10.1002/wilm.10574}, pages = {10--11}, year = {2017}, abstract = {Today, my affirmation of the moral and factual primacy of democracy seems to be counter to reality.}, } - S. Das, “European debt dominoes – italian or french?,” Wilmott, vol. 2017, iss. 88, p. 12–15, 2017.
[Bibtex] [Abstract]
Italy and France share problems of slow growth, unemployment, poor public finances, and structural problems. They have found it difficult to reform, and face an increasingly difficult political environment.
@article {WILM:WILM10575, author = {Das, Satyajit}, title = {European Debt Dominoes – Italian or French?}, journal = {Wilmott}, volume = {2017}, number = {88}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10575}, doi = {10.1002/wilm.10575}, pages = {12--15}, year = {2017}, abstract = {Italy and France share problems of slow growth, unemployment, poor public finances, and structural problems. They have found it difficult to reform, and face an increasingly difficult political environment.}, } - A. Brown, “Limit bets,” Wilmott, vol. 2017, iss. 88, p. 16–21, 2017.
[Bibtex] [Abstract]
What is the optimal strategy for the Haghani-Dewey coin-flip experiment?
@article {WILM:WILM10576, author = {Brown, Aaron}, title = {Limit Bets}, journal = {Wilmott}, volume = {2017}, number = {88}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10576}, doi = {10.1002/wilm.10576}, pages = {16--21}, year = {2017}, abstract = {What is the optimal strategy for the Haghani-Dewey coin-flip experiment?}, } - B. Ziemba, “The effect of fed meetings,” Wilmott, vol. 2017, iss. 88, p. 22–23, 2017.
[Bibtex] [Abstract]
There is a strong positive effect on the days of the FOMC meetings.
@article {WILM:WILM10577, author = {Ziemba, Bill}, title = {The Effect of Fed Meetings}, journal = {Wilmott}, volume = {2017}, number = {88}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10577}, doi = {10.1002/wilm.10577}, pages = {22--23}, year = {2017}, abstract = {There is a strong positive effect on the days of the FOMC meetings.}, } - E. Ayache, “Time and black-scholes-merton,” Wilmott, vol. 2017, iss. 88, p. 24–33, 2017.
[Bibtex] [Abstract]
No statistics can represent the abyss of the event. Only the market can, provided the story is told right.
@article {WILM:WILM10578, author = {Ayache, Elie}, title = {Time and Black-Scholes-Merton}, journal = {Wilmott}, volume = {2017}, number = {88}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10578}, doi = {10.1002/wilm.10578}, pages = {24--33}, year = {2017}, abstract = {No statistics can represent the abyss of the event. Only the market can, provided the story is told right.}, } - R. Poulsen, “The fed isn’t federal – and other odd things in finance,” Wilmott, vol. 2017, iss. 88, p. 34–45, 2017.
[Bibtex] [Abstract]
Rolf Poulsen gives notice to misunderstandings in quantitive finance that range from amusing to genuine obstacles.
@article {WILM:WILM10579, author = {Poulsen, Rolf}, title = {The Fed Isn't Federal - And other Odd Things in Finance}, journal = {Wilmott}, volume = {2017}, number = {88}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10579}, doi = {10.1002/wilm.10579}, pages = {34--45}, year = {2017}, abstract = {Rolf Poulsen gives notice to misunderstandings in quantitive finance that range from amusing to genuine obstacles.}, } - T. Helbing, “Economic value in the credit business: part iii,” Wilmott, vol. 2017, iss. 88, p. 46–53, 2017.
[Bibtex] [Abstract]
In the third part of this article, Tomasz Helbing presents the portfolio credit risk model that complements the concept of economic vaus for loans by consideration of the ecnomic cycle.
@article {WILM:WILM10580, author = {Helbing, Tomasz}, title = {Economic Value in the Credit Business: Part III}, journal = {Wilmott}, volume = {2017}, number = {88}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10580}, doi = {10.1002/wilm.10580}, pages = {46--53}, year = {2017}, abstract = {In the third part of this article, Tomasz Helbing presents the portfolio credit risk model that complements the concept of economic vaus for loans by consideration of the ecnomic cycle.}, } - P. Jäckel, “Implied normal volatility,” Wilmott, vol. 2017, iss. 88, p. 54–57, 2017.
[Bibtex] [Abstract]
We give an analytical formula for the calculation of implied normal volatility (also known as Bachelier volatility) from vanilla option prices.
@article {WILM:WILM10581, author = {Jäckel, Peter}, title = {Implied Normal Volatility}, journal = {Wilmott}, volume = {2017}, number = {88}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10581}, doi = {10.1002/wilm.10581}, pages = {54--57}, keywords = {normal volatility, Bachelier volatility}, year = {2017}, abstract = {We give an analytical formula for the calculation of implied normal volatility (also known as Bachelier volatility) from vanilla option prices.}, } - M. Radley, “Cars,” Wilmott, vol. 2017, iss. 88, p. 58–59, 2017.
[Bibtex] [Abstract]
The latest AMG incarnation of the mighty E63 from Mercedes-Benz’s revered tuning division delivers the most powerful E-Class ever. To make all that performance as accessible as possible, there is a hidden Aladdin’s Cave of digital automotive technology.
@article {WILM:WILM10582, author = {Radley, Milford}, title = {Cars}, journal = {Wilmott}, volume = {2017}, number = {88}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10582}, doi = {10.1002/wilm.10582}, pages = {58--59}, year = {2017}, abstract = {The latest AMG incarnation of the mighty E63 from Mercedes-Benz's revered tuning division delivers the most powerful E-Class ever. To make all that performance as accessible as possible, there is a hidden Aladdin's Cave of digital automotive technology.}, } - J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2017, iss. 88, p. 60–60, 2017.
[Bibtex]@article {WILM:WILM10583, author = {Darasz, Jan}, title = {The skewed world of Jan Darasz}, journal = {Wilmott}, volume = {2017}, number = {88}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10583}, doi = {10.1002/wilm.10583}, pages = {60--60}, year = {2017}, }
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