Wilmott Magazine: March 2020 issue

Volume 2020, Issue 106. Pages 1–84

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In this issue:

Bibliography

  • [DOI] “Contents,” Wilmott, vol. 2020, iss. 106, p. 1–1, 2020.
    [Bibtex]
    @article {WILM:WILM10823,
    title = {Contents},
    journal = {Wilmott},
    volume = {2020},
    number = {106},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10823},
    doi = {10.1002/wilm.10823},
    pages = {1--1},
    year = {2020},
    }
  • [DOI] D. Tudball, “Just catch that wave…,” Wilmott, vol. 2020, iss. 106, p. 2–3, 2020.
    [Bibtex]
    @article {WILM:WILM10824,
    author = {Tudball, Dan},
    title = {Just Catch That Wave…},
    journal = {Wilmott},
    volume = {2020},
    number = {106},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10824},
    doi = {10.1002/wilm.10824},
    pages = {2--3},
    year = {2020},
    abstract = {Just considering the trials involved in making an economic decision suggests the attractiveness of considering a quantum approach.},
    }
  • [DOI] “News,” Wilmott, vol. 2020, iss. 106, p. 4–7, 2020.
    [Bibtex]
    @article {WILM:WILM10825,
    title = {News},
    journal = {Wilmott},
    volume = {2020},
    number = {106},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10825},
    doi = {10.1002/wilm.10825},
    pages = {4--7},
    year = {2020},
    }
  • [DOI] R. Poulsen, “All quiet on the quant front?,” Wilmott, vol. 2020, iss. 106, p. 8–9, 2020.
    [Bibtex]
    @article {WILM:WILM10826,
    author = {Poulsen, Rolf},
    title = {All Quiet on the Quant Front?},
    journal = {Wilmott},
    volume = {2020},
    number = {106},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10826},
    doi = {10.1002/wilm.10826},
    pages = {8--9},
    year = {2020},
    abstract = {On the front lines with a mix of high‐profile researchers from industry and academia, as well as some up‐and‐coming talents at the University of Copenhagen.},
    }
  • [DOI] U. Wystup, “Calendar arbitrage in the fx volatility surface,” Wilmott, vol. 2020, iss. 106, p. 10–11, 2020.
    [Bibtex]
    @article {WILM:WILM10827,
    author = {Wystup, Uwe},
    title = {Calendar Arbitrage in the FX Volatility Surface},
    journal = {Wilmott},
    volume = {2020},
    number = {106},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10827},
    doi = {10.1002/wilm.10827},
    pages = {10--11},
    year = {2020},
    abstract = {Let the eye of vigilance (and diligence) never be closed…},
    }
  • [DOI] A. Brown, “Real interest,” Wilmott, vol. 2020, iss. 106, p. 12–15, 2020.
    [Bibtex]
    @article {WILM:WILM10828,
    author = {Brown, Aaron},
    title = {Real Interest},
    journal = {Wilmott},
    volume = {2020},
    number = {106},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10828},
    doi = {10.1002/wilm.10828},
    pages = {12--15},
    year = {2020},
    abstract = {Refuting common sense, one popular misconception at a time.)},
    }
  • [DOI] D. Orrell, “Quantum‐tative finance,” Wilmott, vol. 2020, iss. 106, p. 16–23, 2020.
    [Bibtex]
    @article {WILM:WILM10829,
    author = {Orrell, David},
    title = {Quantum‐tative Finance},
    journal = {Wilmott},
    volume = {2020},
    number = {106},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10829},
    doi = {10.1002/wilm.10829},
    pages = {16--23},
    year = {2020},
    abstract = {Finance is quantum. David Orrell doesn't mean this in a metaphorical sense ‐ as in “let's imagine that traders are like electrons” ‐ but in the sense of a mathematical model.},
    }
  • [DOI] A. Savine, “Computation graphs for aad and machine learning part iii: application to derivatives risk sensitivities,” Wilmott, vol. 2020, iss. 106, p. 24–39, 2020.
    [Bibtex]
    @article {WILM:WILM10830,
    author = {Savine, Antoine},
    title = {Computation Graphs for AAD and Machine Learning Part III: Application to Derivatives Risk Sensitivities},
    journal = {Wilmott},
    volume = {2020},
    number = {106},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10830},
    doi = {10.1002/wilm.10830},
    pages = {24--39},
    year = {2020},
    abstract = {Third in a series of three articles with code, exploring the notion of computation graph, with words, mathematics and code, and application in Machine Learning and finance to compute a vast number of derivative sensitivities with spectacular speed and accuracy.},
    }
  • [DOI] B. Ziemba, “The triple crown and major us three‐year‐old races in 2019,” Wilmott, vol. 2020, iss. 106, p. 40–55, 2020.
    [Bibtex]
    @article {WILM:WILM10831,
    author = {Ziemba, Bill},
    title = {The Triple Crown and Major US Three‐Year‐Old Races in 2019},
    journal = {Wilmott},
    volume = {2020},
    number = {106},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10831},
    doi = {10.1002/wilm.10831},
    pages = {40--55},
    year = {2020},
    abstract = {2019 was much more complicated than the 2018 season; for the first time the winner, Maximum Security, was disqualified. Just how did Bill steer his bets through that?},
    }
  • [DOI] J. B. Guerard, S. Deng, R. A. Gilliam, H. Markowitz, and G. Xu, “Investing in global equity markets,” Wilmott, vol. 2020, iss. 106, p. 56–75, 2020.
    [Bibtex]
    @article {WILM:WILM10832,
    author = {Guerard, John B. and Deng, Shijie and Gilliam, Robert A. and Markowitz, Harry and Xu, Ganlin},
    title = {Investing in Global Equity Markets},
    journal = {Wilmott},
    volume = {2020},
    number = {106},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10832},
    doi = {10.1002/wilm.10832},
    pages = {56--75},
    keywords = {portfolio optimization, data mining, earnings forecasting},
    year = {2020},
    abstract = {In this analysis of the risk and return of stocks in global markets, we build several models of stock selection and create optimized portfolios to outperform a global benchmark. We apply several applications of robust regression techniques in producing stock selection models and several Markowitz‐based optimization techniques in portfolio construction in various global stock universes. We test separate Japanese and Chinese stock selection models because they are large markets, with large global benchmark weights or are frequently in the news. We find that (1) that robust regression applications are appropriate for modeling stock returns in global markets; and (2) mean‐variance techniques continue to produce portfolios capable of generating excess returns above transactions costs; and (3) our models pass data mining tests such that the models produce statistically significant asset selection. We updated US, Non‐US, and emerging markets stock models during the 2003 through November 2018 time period, and report a continued highly statistically significant risk‐return trade‐off.},
    }
  • [DOI] K. Feldman, “Change of measure in midcurve pricing,” Wilmott, vol. 2020, iss. 106, p. 76–81, 2020.
    [Bibtex]
    @article {WILM:WILM10833,
    author = {Feldman, Konstantin},
    title = {Change of Measure in Midcurve Pricing},
    journal = {Wilmott},
    volume = {2020},
    number = {106},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10833},
    doi = {10.1002/wilm.10833},
    pages = {76--81},
    keywords = {swaptions, measure change, forward volatility, correlation},
    year = {2020},
    abstract = {We derive measure change formulae required to price midcurve swaptions in the forward swap annuity measure with stochastic annuities' ratios. We construct the corresponding linear and exponential terminal swap rate pricing models and show how they capture the midcurve swaption correlation skew.},
    }
  • [DOI] M. Radley, “Cars,” Wilmott, vol. 2020, iss. 106, p. 82–83, 2020.
    [Bibtex]
    @article {WILM:WILM10834,
    author = {Radley, Milford},
    title = {Cars},
    journal = {Wilmott},
    volume = {2020},
    number = {106},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10834},
    doi = {10.1002/wilm.10834},
    pages = {82--83},
    year = {2020},
    abstract = {The new F8 Tributo doesn't look a million miles away from the 488 GTB that it replaces but the changes are still significant.},
    }
  • [DOI] J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2020, iss. 106, p. 84–84, 2020.
    [Bibtex]
    @article {WILM:WILM10835,
    author = {Darasz, Jan},
    title = {The skewed world of Jan Darasz},
    journal = {Wilmott},
    volume = {2020},
    number = {106},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10835},
    doi = {10.1002/wilm.10835},
    pages = {84--84},
    year = {2020},
    }

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