Wilmott Magazine: March 2019 issue – 100th Issue!

Volume 2019, Issue 100. 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. 100, p. 1–1, 2019.
    [Bibtex]
    @article {WILM:WILM10741,
    title = {Contents},
    journal = {Wilmott},
    volume = {2019},
    number = {100},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10741},
    doi = {10.1002/wilm.10741},
    pages = {1--1},
    year = {2019},
    }
  • [DOI] D. Tudball, “Getting to be a habit,” Wilmott, vol. 2019, iss. 100, p. 2–3, 2019.
    [Bibtex]
    @article {WILM:WILM10742,
    author = {Tudball, Dan},
    title = {Getting to Be a Habit},
    journal = {Wilmott},
    volume = {2019},
    number = {100},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10742},
    doi = {10.1002/wilm.10742},
    pages = {2--3},
    year = {2019},
    abstract = {Evidently people believe there's an opportunity here. But is it an opportunity that indicates the prospect of real innovation in Quant Finance?},
    }
  • [DOI] “News,” Wilmott, vol. 2019, iss. 100, p. 4–9, 2019.
    [Bibtex]
    @article {WILM:WILM10743,
    title = {News},
    journal = {Wilmott},
    volume = {2019},
    number = {100},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10743},
    doi = {10.1002/wilm.10743},
    pages = {4--9},
    year = {2019},
    }
  • [DOI] A. Brown, “Liquid alts,” Wilmott, vol. 2019, iss. 100, p. 10–11, 2019.
    [Bibtex]
    @article {WILM:WILM10744,
    author = {Brown, Aaron},
    title = {Liquid Alts},
    journal = {Wilmott},
    volume = {2019},
    number = {100},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10744},
    doi = {10.1002/wilm.10744},
    pages = {10--11},
    year = {2019},
    abstract = {Do hedge fund indices offer investors some sort of “secret sauce” alpha?},
    }
  • [DOI] F. Siboulet, R. Kumar, R. Douady, and S. Crepey, “Libor inside out: transition and challenges,” Wilmott, vol. 2019, iss. 100, p. 12–29, 2019.
    [Bibtex]
    @article {WILM:WILM10745,
    author = {Siboulet, Frederic and Kumar, Ranjeet and Douady, Raphael and Crepey, Stéphane},
    title = {LIBOR Inside Out: Transition and Challenges},
    journal = {Wilmott},
    volume = {2019},
    number = {100},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10745},
    doi = {10.1002/wilm.10745},
    pages = {12--29},
    year = {2019},
    }
  • [DOI] R. Poulsen, “Cross‐currency betting arbitrage,” Wilmott, vol. 2019, iss. 100, p. 30–31, 2019.
    [Bibtex]
    @article {WILM:WILM10746,
    author = {Poulsen, Rolf},
    title = {Cross‐Currency Betting Arbitrage},
    journal = {Wilmott},
    volume = {2019},
    number = {100},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10746},
    doi = {10.1002/wilm.10746},
    pages = {30--31},
    year = {2019},
    abstract = {Betting arbitrage is not just a toy example…},
    }
  • [DOI] U. Wystup, “Exit strategy for a sick floan,” Wilmott, vol. 2019, iss. 100, p. 32–35, 2019.
    [Bibtex]
    @article {WILM:WILM10747,
    author = {Wystup, Uwe},
    title = {Exit Strategy for a Sick Floan},
    journal = {Wilmott},
    volume = {2019},
    number = {100},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10747},
    doi = {10.1002/wilm.10747},
    pages = {32--35},
    year = {2019},
    abstract = {The Idea of a EUR/CHF Carry Trade},
    }
  • [DOI] D. Tudball, “Alternative medicine,” Wilmott, vol. 2019, iss. 100, p. 36–43, 2019.
    [Bibtex]
    @article {WILM:WILM10748,
    author = {Tudball, Dan},
    title = {Alternative Medicine},
    journal = {Wilmott},
    volume = {2019},
    number = {100},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10748},
    doi = {10.1002/wilm.10748},
    pages = {36--43},
    year = {2019},
    abstract = {Could alternative data be just the prescription for novel quant finance work utilizing machine learning? Dan Tudball asks around…},
    }
  • [DOI] P. Wilmott, “The pleasure and pain of investing: parallels with exotic options,” Wilmott, vol. 2019, iss. 100, p. 44–51, 2019.
    [Bibtex]
    @article {WILM:WILM10749,
    author = {Wilmott, Paul},
    title = {The Pleasure and Pain of Investing: Parallels with Exotic Options},
    journal = {Wilmott},
    volume = {2019},
    number = {100},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10749},
    doi = {10.1002/wilm.10749},
    pages = {44--51},
    keywords = {prospect theory, anchoring, memory, pleasure, pain, behavioral finance, derivatives theory, path dependency, exotic options},
    year = {2019},
    abstract = {I bring together important ideas from behavioral economics, namely prospect theory, anchoring, and memory, with some elementary concepts from quantitative finance, namely the valuation of exotic options, to show how one may model the “pleasure and pain“ caused by investment in financial products. I shall qualify the downside of monitoring your profit and loss too frequently, and we will see how fortune can favor the brave.},
    }
  • [DOI] S. D. Moffitt and W. T. Ziemba, “A risk arbitrage strategy for lotteries,” Wilmott, vol. 2019, iss. 100, p. 52–63, 2019.
    [Bibtex]
    @article {WILM:WILM10750,
    author = {Moffitt, Steven D. and Ziemba, William T.},
    title = {A Risk Arbitrage Strategy for Lotteries},
    journal = {Wilmott},
    volume = {2019},
    number = {100},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10750},
    doi = {10.1002/wilm.10750},
    pages = {52--63},
    keywords = {risk arbitrage, lotteries, buying the pot, mathematical edge, betting strategy},
    year = {2019},
    abstract = {We report a new result on lotteries – that a well‐funded syndicate has a positive expectation risk arbitrage strategy in an equiprobable lottery with no take and no carryover pool. We prove that an optimal strategy for a syndicate in an equiprobable lotter with many uncoordinated bettors consists of betting one of each ticket (the “trump ticket”). We shoe a similar result obtains for proportional ticket selection in non0 equiprobable lotteries. The strategy can be adjusted to accommodate lottery taxes and carryover pools. No “irrationality” need be involved for the strategy to succeed (beyond the decision of the crowd to bet anything at all) – it requires only that a large group on non‐syndicate players each bet a few tickets without coordinating their choices.},
    }
  • [DOI] L. Zyapkov, “Forward volatility on a gamma clock and the relativity of time in financial markets,” Wilmott, vol. 2019, iss. 100, p. 64–73, 2019.
    [Bibtex]
    @article {WILM:WILM10751,
    author = {Zyapkov, Lyudmil},
    title = {Forward Volatility on a Gamma Clock and the Relativity of Time in Financial Markets},
    journal = {Wilmott},
    volume = {2019},
    number = {100},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10751},
    doi = {10.1002/wilm.10751},
    pages = {64--73},
    keywords = {forward volatility, McDay bivariate gamma PDF, gamma density},
    year = {2019},
    abstract = {This paper presents a novel technique for exposing the relative nature of the passage of time in financial markets. The construction of the stochastic volatility model based on two correlated gamma processes utilizes an effective expansion of the gamma probability density function, allows for calibration to the ATM forward volatility, and retains control over the steepness of the forward volatility skew. The central results of the model consist of uncovering the link between the variable speed at which events in financial markets unfold and the correlation between the random times at which the underlying state variable and its volatility jump in conjunction with the realization that this information is encoded in the shape of the forward volatility.}
    }
  • [DOI] C. Huber, “Machine learning for hedge fund selection,” Wilmott, vol. 2019, iss. 100, p. 74–81, 2019.
    [Bibtex]
    @article {WILM:WILM10752,
    author = {Huber, Claus},
    title = {Machine Learning for Hedge Fund Selection},
    journal = {Wilmott},
    volume = {2019},
    number = {100},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10752},
    doi = {10.1002/wilm.10752},
    pages = {74--81},
    keywords = {machine learning, self‐organizing maps, Kohonen map, robust portfolios, hedge funds, hedge fund selection},
    year = {2019},
    abstract = {This paper describes the application of Kohonen's self‐organizing maps (SOMs), a method of machine learning, to the problem of selecting hedge funds to achieve stable portfolio performance. SOMs can help to identify similarities in return structures of hedge fund managers and hence avoid concentrations in a portfolio. The core question is whether SOMs can add any value for manager selection. Two novel yet simple methods to select hedge funds based on the specific properties of SOMs are proposed that both target identifying unique investment strategies. To evaluate their performance relative to other, simpler benchmark methods of portfolio selection, a simulation study finds both SOM‐based methods proposed enhance risk/return profiles and drawdown patterns},
    }
  • [DOI] M. Radley, “Cars,” Wilmott, vol. 2019, iss. 100, p. 82–83, 2019.
    [Bibtex]
    @article {WILM:WILM10753,
    author = {Radley, Milford},
    title = {Cars},
    journal = {Wilmott},
    volume = {2019},
    number = {100},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10753},
    doi = {10.1002/wilm.10753},
    pages = {82--83},
    year = {2019},
    abstract = {The eighth‐generation Porsche 911 is the same but different, with a raft of electronic wizardry that is designed to keep the car as engaging as ever, yet easier to use.},
    }
  • [DOI] J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2019, iss. 100, p. 84–84, 2019.
    [Bibtex]
    @article {WILM:WILM10754,
    author = {Darasz, Jan},
    title = {The skewed world of Jan Darasz},
    journal = {Wilmott},
    volume = {2019},
    number = {100},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10754},
    doi = {10.1002/wilm.10754},
    pages = {84--84},
    year = {2019},
    }

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