Volume 2021, Issue 112. Pages 1-72
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In this issue:
Bibliography
- “Contents,” Wilmott, vol. 2021, iss. 112, p. 1–1, 2021.
[Bibtex]@article {WILM:WILM10910, title = {Contents}, journal = {Wilmott}, volume = {2021}, number = {112}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10910}, doi = {10.1002/wilm.10910}, pages = {1--1}, year = {2021}, } - D. Tudball, “Golden moments,” Wilmott, vol. 2021, iss. 112, p. 2–3, 2021.
[Bibtex] [Abstract]
That proportion theta has a long history in mathematics, aesthetics, architecture, nature, and other fields. It keeps popping up when least expected.
@article {WILM:WILM10911, author = {Tudball, Dan}, title = {Golden Moments}, journal = {Wilmott}, volume = {2021}, number = {112}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10911}, doi = {10.1002/wilm.10911}, pages = {2--3}, year = {2021}, abstract = {That proportion theta has a long history in mathematics, aesthetics, architecture, nature, and other fields. It keeps popping up when least expected.}, } - “News,” Wilmott, vol. 2021, iss. 112, p. 4–7, 2021.
[Bibtex]@article {WILM:WILM10912, title = {News}, journal = {Wilmott}, volume = {2021}, number = {112}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10912}, doi = {10.1002/wilm.10912}, pages = {4--7}, year = {2021}, } - U. Wystup, “Cable, sterling, loonies, and nokkies,” Wilmott, vol. 2021, iss. 112, p. 8–11, 2021.
[Bibtex] [Abstract]
Time to revisit the British pound (GBP), one of the oldest still globally relevant currencies in the world.)
@article {WILM:WILM10913, author = {Wystup, Uwe}, title = {Cable, Sterling, Loonies, and Nokkies}, journal = {Wilmott}, volume = {2021}, number = {112}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10913}, doi = {10.1002/wilm.10913}, pages = {8--11}, year = {2021}, abstract = {Time to revisit the British pound (GBP), one of the oldest still globally relevant currencies in the world.)}, } - R. Poulsen, “Poly parrot,” Wilmott, vol. 2021, iss. 112, p. 12–15, 2021.
[Bibtex] [Abstract]
Replicating Savine and Huge's work on differential machine learning in a simpler polynomial regression set‐up.
@article {WILM:WILM10914, author = {Poulsen, Rolf}, title = {Poly Parrot}, journal = {Wilmott}, volume = {2021}, number = {112}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10914}, doi = {10.1002/wilm.10914}, pages = {12--15}, year = {2021}, abstract = {Replicating Savine and Huge's work on differential machine learning in a simpler polynomial regression set‐up.}, } - J. Blin, J. Guerard, and A. Mark, “The risks you know—and those you don't,” Wilmott, vol. 2021, iss. 112, p. 16–37, 2021.
[Bibtex] [Abstract]
Sequencing the human genome took over 50 years ‐ and the work is still going on and at a frantic pace. In the field of portfolio construction, the same sequencing effort is underway ‐ and just as frantically. Looking back over 50 years of market data, John Blin, John Guerard, and Andrew Mark identify key genetic markers. Parsing out which ones matter holds the key to more‐resilient portfolios.
@article {WILM:WILM10915, author = {Blin, John and Guerard, John and Mark, Andrew}, title = {The Risks You Know—And Those You Don't}, journal = {Wilmott}, volume = {2021}, number = {112}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10915}, doi = {10.1002/wilm.10915}, pages = {16--37}, year = {2021}, abstract = {Sequencing the human genome took over 50 years ‐ and the work is still going on and at a frantic pace. In the field of portfolio construction, the same sequencing effort is underway ‐ and just as frantically. Looking back over 50 years of market data, John Blin, John Guerard, and Andrew Mark identify key genetic markers. Parsing out which ones matter holds the key to more‐resilient portfolios.}, } - J. Swetye and B. Ziemba, “Zweig's momentum and fed movement models for us stock market predictions,” Wilmott, vol. 2021, iss. 112, p. 38–49, 2021.
[Bibtex] [Abstract]
Ideas from the man who called the '87 Crash still have value in modern markets.
@article {WILM:WILM10916, author = {Swetye, John and Ziemba, Bill}, title = {Zweig's Momentum and Fed Movement Models for US Stock Market Predictions}, journal = {Wilmott}, volume = {2021}, number = {112}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10916}, doi = {10.1002/wilm.10916}, pages = {38--49}, year = {2021}, abstract = {Ideas from the man who called the '87 Crash still have value in modern markets.}, } - P. S. Hagain, A. S. Lewsniewski, G. G. Skoufis, and E. Woodward, “Sabr for baskets,” Wilmott, vol. 2021, iss. 112, p. 50–61, 2021.
[Bibtex] [Abstract]
We show that a basket of assets, each governed by the normal SABR model, is also governed by the normal SABR model. Explicit formulae for the SABR parameters of the basket are derived from the SABR parameters of the basket constituents.
@article {WILM:WILM10917, author = {Hagain, Patrick S. and Lewsniewski, Andrew S. and Skoufis, G. G. and Woodward, E.}, title = {SABR for Baskets}, journal = {Wilmott}, volume = {2021}, number = {112}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10917}, doi = {10.1002/wilm.10917}, pages = {50--61}, keywords = {SABR model, basket option, closed form}, year = {2021}, abstract = {We show that a basket of assets, each governed by the normal SABR model, is also governed by the normal SABR model. Explicit formulae for the SABR parameters of the basket are derived from the SABR parameters of the basket constituents.}, } - D. Orrell, “A quantum walk model of financial options,” Wilmott, vol. 2021, iss. 112, p. 62–69, 2021.
[Bibtex] [Abstract]
Financial markets are often modeled using a random walk, for example in the binomial option pricing model. This paper presents an alternative approach to option pricing based on a quantum walk model. The quantum walk, which incorporates superposition states and allows for effects such as interference, was originally developed in physics, but has also seen application in areas such as cognitive psychology, where it is used to model dynamic decision‐making processes. It is shown here that the quantum walk model captures key aspects of investor behavior, while the collapsed state captures the observed behavior of markets. The resulting option price model agrees quite closely with the classical random walk model, but when coupled with a model of supply and demand helps to explain some observed anomalies. The method also has the advantage that it can be run directly on a quantum device. The aim of this paper is to initiate a discussion about how non‐classical models that are native to quantum computers can be applied in finance.
@article {WILM:WILM10918, author = {Orrell, David}, title = {A Quantum Walk Model of Financial Options}, journal = {Wilmott}, volume = {2021}, number = {112}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10918}, doi = {10.1002/wilm.10918}, pages = {62--69}, keywords = {financial options, quantum walk, quantum finance, quantum cognition, quantum computing}, year = {2021}, abstract = {Financial markets are often modeled using a random walk, for example in the binomial option pricing model. This paper presents an alternative approach to option pricing based on a quantum walk model. The quantum walk, which incorporates superposition states and allows for effects such as interference, was originally developed in physics, but has also seen application in areas such as cognitive psychology, where it is used to model dynamic decision‐making processes. It is shown here that the quantum walk model captures key aspects of investor behavior, while the collapsed state captures the observed behavior of markets. The resulting option price model agrees quite closely with the classical random walk model, but when coupled with a model of supply and demand helps to explain some observed anomalies. The method also has the advantage that it can be run directly on a quantum device. The aim of this paper is to initiate a discussion about how non‐classical models that are native to quantum computers can be applied in finance.}, } - M. Radley, “Cars,” Wilmott, vol. 2021, iss. 112, p. 70–71, 2021.
[Bibtex] [Abstract]
Honda's performance sedan goes on a diet to make it an even more sought‐after Far‐Eastern hot hatch.
@article {WILM:WILM10919, author = {Radley, Milford}, title = {Cars}, journal = {Wilmott}, volume = {2021}, number = {112}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10919}, doi = {10.1002/wilm.10919}, pages = {70--71}, year = {2021}, abstract = {Honda's performance sedan goes on a diet to make it an even more sought‐after Far‐Eastern hot hatch.}, } - J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2021, iss. 112, p. 72–72, 2021.
[Bibtex]@article {WILM:WILM10920, author = {Darasz, Jan}, title = {The skewed world of Jan Darasz}, journal = {Wilmott}, volume = {2021}, number = {112}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10920}, doi = {10.1002/wilm.10920}, pages = {72--72}, year = {2021}, }
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