Volume 2022, Issue 118. Pages 1-72
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In this issue:
- D. Tudball, “Contents,” Wilmott, vol. 2022, iss. 118, p. 1–1, 2022.
[Bibtex] [Abstract]Contents
@article{WILM:WILM10991, title = {Contents}, author = {Tudball, Daniel}, year = 2022, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2022, number = 118, pages = {1--1}, doi = {10.54946/wilm.10991}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.10991}, abstract = {Contents} } - D. Tudball, “Now I’m Reaching Back for Yesterdays,” Wilmott, vol. 2022, iss. 118, p. 2–3, 2022.
[Bibtex] [Abstract]In this issue Colin Turfus and Aurelio Romero-Bermudez consider how to go about choosing the best short rate model combining analytic tractability with accurate representation of the term structure of interest rate volatility
@article{WILM:WILM10992, title = {{Now I'm Reaching Back for Yesterdays}}, author = {Tudball, Daniel}, year = 2022, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2022, number = 118, pages = {2--3}, doi = {10.54946/wilm.10992}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.10992}, abstract = {In this issue Colin Turfus and Aurelio Romero-Bermudez consider how to go about choosing the best short rate model combining analytic tractability with accurate representation of the term structure of interest rate volatility} } - D. Tudball, “News,” Wilmott, vol. 2022, iss. 118, p. 4–9, 2022.
[Bibtex] [Abstract]News
@article{WILM:WILM10993, title = {News}, author = {Tudball, Daniel}, year = 2022, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2022, number = 118, pages = {4--9}, doi = {10.54946/wilm.10993}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.10993}, abstract = {News} } - Optionmetrics, “Can Markets Predict Supreme Court Rulings for Corporate Cases?,” Wilmott, vol. 2022, iss. 118, p. 10–11, 2022.
[Bibtex] [Abstract]What happens when a company’s case goes to the Supreme Court? How does it influence stock and options prices? And do investors price their anticipation of the outcome into these markets
@article{WILM:WILM10994, title = {{Can Markets Predict Supreme Court Rulings for Corporate Cases?}}, author = {Optionmetrics}, year = 2022, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2022, number = 118, pages = {10--11}, doi = {10.54946/wilm.10994}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.10994}, abstract = {What happens when a company’s case goes to the Supreme Court? How does it influence stock and options prices? And do investors price their anticipation of the outcome into these markets} } - A. Brown, “Correlation and Causation,” Wilmott, vol. 2022, iss. 118, p. 12–14, 2022.
[Bibtex] [Abstract]In social science, we can rarely perform experiments rigorous enough to establish causality. Ironically, it is in just such areas of study that people are prone to rely on correlation to prove causation.
@article{WILM:WILM10995, title = {{Correlation and Causation}}, author = {Brown, Aaron}, year = 2022, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2022, number = 118, pages = {12--14}, doi = {10.54946/wilm.10995}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.10995}, abstract = {In social science, we can rarely perform experiments rigorous enough to establish causality. Ironically, it is in just such areas of study that people are prone to rely on correlation to prove causation.} } - E. Haug, “Picture Post Espen Haug 007,” Wilmott, vol. 2022, iss. 118, p. 15–15, 2022.
[Bibtex] [Abstract]Pictorial
@article{WILM:WILM10996, title = {{Picture Post Espen Haug 007}}, author = {Haug, Espen}, year = 2022, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2022, number = 118, pages = {15--15}, doi = {10.54946/wilm.10996}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.10996}, abstract = {Pictorial} } - U. Wystup, “Can Volga of a Long Vanilla Option be Negative?,” Wilmott, vol. 2022, iss. 118, p. 16–18, 2022.
[Bibtex] [Abstract]More volatility would cause less volatility risk, which may feel counter-intuitive at first glance. Uwe Wystup gets negative in the most positive way
@article{WILM:WILM10997, title = {{Can Volga of a Long Vanilla Option be Negative?}}, author = {Wystup, Uwe}, year = 2022, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2022, number = 118, pages = {16--18}, doi = {10.54946/wilm.10997}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.10997}, abstract = {More volatility would cause less volatility risk, which may feel counter-intuitive at first glance. Uwe Wystup gets negative in the most positive way} } - R. Poulsen, “Rank Competence,” Wilmott, vol. 2022, iss. 118, p. 20–21, 2022.
[Bibtex] [Abstract]In a previous column, I looked at the perils of heavy-handed rounding. This month I delve into a quite related, yet somewhat reversed problem: Tiebreaker rules — using exclusively examples from sport due to limitations in publication space and my mental capacities
@article{WILM:WILM10998, title = {{Rank Competence}}, author = {Poulsen, Rolf}, year = 2022, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2022, number = 118, pages = {20--21}, doi = {10.54946/wilm.10998}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.10998}, abstract = {In a previous column, I looked at the perils of heavy-handed rounding. This month I delve into a quite related, yet somewhat reversed problem: Tiebreaker rules — using exclusively examples from sport due to limitations in publication space and my mental capacities} } - R. Bogni, “Economy Ala Carte,” Wilmott, vol. 2022, iss. 118, p. 22–23, 2022.
[Bibtex] [Abstract]Looking at economic issues in a fragmented way is today the equivalent of asking to order a la carte in a fast-food outlet
@article{WILM:WILM10999, title = {{Economy Ala Carte}}, author = {Bogni, Rudi}, year = 2022, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2022, number = 118, pages = {22--23}, doi = {10.54946/wilm.10999}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.10999}, abstract = {Looking at economic issues in a fragmented way is today the equivalent of asking to order a la carte in a fast-food outlet} } - E. Thorp, “Thinking My Way Through Covid,” Wilmott, vol. 2022, iss. 118, p. 24–27, 2022.
[Bibtex] [Abstract]Sound Risk Management in the face of the SARS-CoV-2 virus.
@article{WILM:WILM11000, title = {{Thinking My Way Through Covid}}, author = {Thorp, Edward}, year = 2022, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2022, number = 118, pages = {24--27}, doi = {10.54946/wilm.11000}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.11000}, abstract = {Sound Risk Management in the face of the SARS-CoV-2 virus.} } - C. Turfus and A. Romero-Bermudez, “What Short Rate Model Should I Use?,” Wilmott, vol. 2022, iss. 118, p. 28–38, 2022.
[Bibtex] [Abstract]how to go about choosing the best short rate model combining analytic tractability with accurate representation of the term structure of interest rate volatility
@article{WILM:WILM11001, title = {{What Short Rate Model Should I Use?}}, author = {Turfus, Colin and Romero-Bermudez, Aurelio}, year = 2022, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2022, number = 118, pages = {28--38}, doi = {10.54946/wilm.11001}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.11001}, abstract = {how to go about choosing the best short rate model combining analytic tractability with accurate representation of the term structure of interest rate volatility} } - B. Ziemba, “Risk Arbitrage in the 2021 NBA Championship,” Wilmott, vol. 2022, iss. 118, p. 40–48, 2022.
[Bibtex] [Abstract]Mean reversion risk arbitrage is an ideal way to bet on and watch the NBA.
@article{WILM:WILM11002, title = {{Risk Arbitrage in the 2021 NBA Championship}}, author = {Ziemba, Bill}, year = 2022, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2022, number = 118, pages = {40--48}, doi = {10.54946/wilm.11002}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.11002}, abstract = {Mean reversion risk arbitrage is an ideal way to bet on and watch the NBA.} } - S. Renzitti, P. Bastani, and S. Sivorot, “XVA Estimates with Empirical Martingale Simulation,” Wilmott, vol. 2022, iss. 118, p. 50–59, 2022.
[Bibtex] [Abstract]We explore simple finite sample adjustments to simulated spot FX rates, zero bonds, forward IBORs and the numeraire to ensure the martingale asset pricing property of linear IR and FX products holds exactly with a finite number of Monte Carlo simulations
@article{WILM:WILM11003, title = {{XVA Estimates with Empirical Martingale Simulation}}, author = {Renzitti, Stefano and Bastani, Pouya and Sivorot, Steven}, year = 2022, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2022, number = 118, pages = {50--59}, doi = {10.54946/wilm.11003}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.11003}, abstract = {We explore simple finite sample adjustments to simulated spot FX rates, zero bonds, forward IBORs and the numeraire to ensure the martingale asset pricing property of linear IR and FX products holds exactly with a finite number of Monte Carlo simulations} } - F. Baustian, M. Fencl, J. Pospíšil, and V. Švígler, “A Note on a PDE Approach to Option Pricing Under xVA,” Wilmott, vol. 2022, iss. 118, p. 60–69, 2022.
[Bibtex] [Abstract]In this paper we study partial differential equations (PDEs) that can be used to model value adjustments. Different value adjustments denoted generally as xVA are nowadays added to the risk-free financial derivative values and the PDE approach allows their easy incorporation. The aim of this paper is to show how to solve the PDE analytically in the Black-Scholes setting to get new semi-closed formulas that we compare to the widely used standard approximations by Monte-Carlo simulations and by numerical finite-differences solutions of the PDE. Particular example of collateral taken as the values from the past will be of interest.
@article{WILM:WILM11004, title = {{A Note on a PDE Approach to Option Pricing Under xVA}}, author = {Baustian, Falko and Fencl, Martin and Pospíšil, Jan and Švígler, Vladimír}, year = 2022, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2022, number = 118, pages = {60--69}, doi = {10.54946/wilm.11004}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.11004}, abstract = {In this paper we study partial differential equations (PDEs) that can be used to model value adjustments. Different value adjustments denoted generally as xVA are nowadays added to the risk-free financial derivative values and the PDE approach allows their easy incorporation. The aim of this paper is to show how to solve the PDE analytically in the Black-Scholes setting to get new semi-closed formulas that we compare to the widely used standard approximations by Monte-Carlo simulations and by numerical finite-differences solutions of the PDE. Particular example of collateral taken as the values from the past will be of interest.} } - M. Radley, “Ferrari/BMW,” Wilmott, vol. 2022, iss. 118, p. 70–71, 2022.
[Bibtex] [Abstract]Ferrari/BMW
@article{WILM:WILM11005, title = {{Ferrari/BMW}}, author = {Radley, Milford}, year = 2022, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2022, number = 118, pages = {70--71}, doi = {10.54946/wilm.11005}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.11005}, abstract = {Ferrari/BMW} } - J. Darasz, “The Skewed World of Jan Darasz,” Wilmott, vol. 2022, iss. 118, p. 72–72, 2022.
[Bibtex] [Abstract]Cartoon
@article{WILM:WILM11006, title = {{The Skewed World of Jan Darasz}}, author = {Darasz, Jan}, year = 2022, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2022, number = 118, pages = {72--72}, doi = {10.54946/wilm.11006}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.11006}, abstract = {Cartoon} }
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