Volume 2018, Issue 95. Pages 1–72
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Bibliography
- “Contents,” Wilmott, vol. 2018, iss. 95, pp. 1-1.
[Bibtex]@article{doi:10.1002/wilm.10665, title = {Contents}, journal = {Wilmott}, volume = {2018}, number = {95}, pages = {1-1}, doi = {10.1002/wilm.10665}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10665}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10665} } - D. Tudball, “Don’t want to burst your bubble,” Wilmott, vol. 2018, iss. 95, pp. 2-3.
[Bibtex] [Abstract]
One way to hedge against large price fluctuations is by employing bubble technology for identifying signatures in price data and for mitigating crashes and advantaging rallies.
@article{doi:10.1002/wilm.10666, author = {Tudball, Dan}, title = {Don't Want to Burst Your Bubble}, journal = {Wilmott}, volume = {2018}, number = {95}, pages = {2-3}, doi = {10.1002/wilm.10666}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10666}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10666}, abstract = {One way to hedge against large price fluctuations is by employing bubble technology for identifying signatures in price data and for mitigating crashes and advantaging rallies.} } - “News,” Wilmott, vol. 2018, iss. 95, pp. 4-9.
[Bibtex]@article{doi:10.1002/wilm.10667, title = {News}, journal = {Wilmott}, volume = {2018}, number = {95}, pages = {4-9}, doi = {10.1002/wilm.10667}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10667}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10667} } - C. Julia, “Big time series analysis with juliadb,” Wilmott, vol. 2018, iss. 95, pp. 10-13.
[Bibtex] [Abstract]
Dr. Josh Day of Julia Computing takes a look into the multi‐indexed database of the future.
@article{doi:10.1002/wilm.10668, author = {Computing Julia}, title = {Big Time Series Analysis with JuliaDB}, journal = {Wilmott}, volume = {2018}, number = {95}, pages = {10-13}, doi = {10.1002/wilm.10668}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10668}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10668}, abstract = {Dr. Josh Day of Julia Computing takes a look into the multi‐indexed database of the future.} } - “Vectorization: the rise of parallelism,” Wilmott, vol. 2018, iss. 95, pp. 14-17.
[Bibtex] [Abstract]
CEO Rohan Douglas and Development Manager – Risk Architecture Jamie Elliott of Quantifi focus on optimizing the latest generation of hardware to meet the demand for higher‐performance risk and analytics.
@article{doi:10.1002/wilm.10669, title = {Vectorization: The Rise of Parallelism}, journal = {Wilmott}, volume = {2018}, number = {95}, pages = {14-17}, doi = {10.1002/wilm.10669}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10669}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10669}, abstract = {CEO Rohan Douglas and Development Manager – Risk Architecture Jamie Elliott of Quantifi focus on optimizing the latest generation of hardware to meet the demand for higher‐performance risk and analytics.} } - A. Brown, “Thinking in bets,” Wilmott, vol. 2018, iss. 95, pp. 18-23.
[Bibtex] [Abstract]
In poker, as in probabilistic paper‐scissors‐rock, how all the potential hands any players hold play versus each other is key: favorable strategic positioning of your hand among that universe that wins big pots, not good cards.
@article{doi:10.1002/wilm.10670, author = {Brown, Aaron}, title = {Thinking in Bets}, journal = {Wilmott}, volume = {2018}, number = {95}, pages = {18-23}, doi = {10.1002/wilm.10670}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10670}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10670}, abstract = {In poker, as in probabilistic paper‐scissors‐rock, how all the potential hands any players hold play versus each other is key: favorable strategic positioning of your hand among that universe that wins big pots, not good cards.} } - S. Das, “Desperately seeking innovation,” Wilmott, vol. 2018, iss. 95, pp. 24-29.
[Bibtex] [Abstract]
The world’s focus on technology and innovation is driven by a desperate desire to find a magical solution to the economic and related social and political problems confronting the human race.
@article{doi:10.1002/wilm.10671, author = {Das, Satyajit}, title = {Desperately Seeking Innovation}, journal = {Wilmott}, volume = {2018}, number = {95}, pages = {24-29}, doi = {10.1002/wilm.10671}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10671}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10671}, abstract = {The world's focus on technology and innovation is driven by a desperate desire to find a magical solution to the economic and related social and political problems confronting the human race.} } - J. Kreuser and D. Sornette, “Bitcoin bubble trouble,” Wilmott, vol. 2018, iss. 95, pp. 30-39.
[Bibtex] [Abstract]
Jérôme Kreuser and Didier Sornette introduce a new bubble theory.
@article{doi:10.1002/wilm.10672, author = {Kreuser, Jérôme and Sornette, Didier}, title = {Bitcoin Bubble Trouble}, journal = {Wilmott}, volume = {2018}, number = {95}, pages = {30-39}, doi = {10.1002/wilm.10672}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10672}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10672}, abstract = {Jérôme Kreuser and Didier Sornette introduce a new bubble theory.} } - R. Poulsen, “Special fx,” Wilmott, vol. 2018, iss. 95, pp. 40-41.
[Bibtex] [Abstract]
Horses for courses. Special events call for special techniques.
@article{doi:10.1002/wilm.10673, author = {Poulsen, Rolf}, title = {Special FX}, journal = {Wilmott}, volume = {2018}, number = {95}, pages = {40-41}, doi = {10.1002/wilm.10673}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10673}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10673}, abstract = {Horses for courses. Special events call for special techniques.} } - B. Ziemba, “Arbitrage and risk arbitrage in the nikkei put warrant market,” Wilmott, vol. 2018, iss. 95, pp. 42-47.
[Bibtex] [Abstract]
How Bill and Ed Thorp did a convergence trade based on differing put warrant prices on the Toronto and American stock exchanges.
@article{doi:10.1002/wilm.10674, author = {Ziemba, Bill}, title = {Arbitrage and Risk Arbitrage in the Nikkei Put Warrant Market}, journal = {Wilmott}, volume = {2018}, number = {95}, pages = {42-47}, doi = {10.1002/wilm.10674}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10674}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10674}, abstract = {How Bill and Ed Thorp did a convergence trade based on differing put warrant prices on the Toronto and American stock exchanges.} } - O. A. F. Del Castillo, A. Kumiega, G. Sterijevski, and B. Van Vliet, “An empirical study of volatility spillover worldwide,” Wilmott, vol. 2018, iss. 95, pp. 48-59.
[Bibtex] [Abstract]
Recently, the number of volatility indexes has increased. However, it is not clear whether futures on these indexes provide real opportunities to hedge asset class‐specific risks or they are merely a form of highly correlated, information overload. This paper investigates this question by examining dependence relationships among 29 volatility indexes in three categories using five techniques. While class‐specific variation matters, we find that higher order relationships are present, and that a significant level of spillover, across these indexes exists. One common, market‐driven volatility factor appears to dominate the interrelationships. We propose three possible explanations for this phenomenon. We argue that much of risk can be hedged using options on the VIX.
@article{doi:10.1002/wilm.10675, author = {Del Castillo, Olivares Antonio Fernandez and Kumiega, Andrew and Sterijevski, Greg and Van Vliet, Ben}, title = {An Empirical Study of Volatility Spillover Worldwide}, journal = {Wilmott}, volume = {2018}, number = {95}, pages = {48-59}, keywords = {volatility spillover, implied volatility, hedging}, doi = {10.1002/wilm.10675}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10675}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10675}, abstract = {Recently, the number of volatility indexes has increased. However, it is not clear whether futures on these indexes provide real opportunities to hedge asset class‐specific risks or they are merely a form of highly correlated, information overload. This paper investigates this question by examining dependence relationships among 29 volatility indexes in three categories using five techniques. While class‐specific variation matters, we find that higher order relationships are present, and that a significant level of spillover, across these indexes exists. One common, market‐driven volatility factor appears to dominate the interrelationships. We propose three possible explanations for this phenomenon. We argue that much of risk can be hedged using options on the VIX.} } - P. S. Hagan, “Building curves using area preserving quadratic splines,” Wilmott, vol. 2018, iss. 95, pp. 60-63.
[Bibtex] [Abstract]
We compare two interpolation methods which are widely used to construct discount curves, forecast (projection) curves, basis curves, and other financial curves. We find that the area‐preserving, quadratic‐spline method is superior to the “smart quadratic” method, yielding smoother, more natural looking forward curves with few of the artifacts exhibited by the smart quadratic curves. We also show how to efficiently implement both methods by an iterative bootstrapping scheme.
@article{doi:10.1002/wilm.10676, author = {Hagan, Patrick S.}, title = {Building Curves Using Area Preserving Quadratic Splines}, journal = {Wilmott}, volume = {2018}, number = {95}, pages = {60-63}, keywords = {discount curves, interpolation methods}, doi = {10.1002/wilm.10676}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10676}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10676}, abstract = {We compare two interpolation methods which are widely used to construct discount curves, forecast (projection) curves, basis curves, and other financial curves. We find that the area‐preserving, quadratic‐spline method is superior to the “smart quadratic” method, yielding smoother, more natural looking forward curves with few of the artifacts exhibited by the smart quadratic curves. We also show how to efficiently implement both methods by an iterative bootstrapping scheme.} } - I. J. Clark and S. Amen, “Using fx volatility skew to assess the implied probability of hard brexit,” Wilmott, vol. 2018, iss. 95, pp. 64-69.
[Bibtex]@article{doi:10.1002/wilm.10677, author = {Clark, Iain J. and Amen, Saeed}, title = {Using FX Volatility Skew to Assess the Implied Probability of Hard Brexit}, journal = {Wilmott}, volume = {2018}, number = {95}, pages = {64-69}, doi = {10.1002/wilm.10677}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10677}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10677} } - M. Radley, “Cars,” Wilmott, vol. 2018, iss. 95, pp. 70-71.
[Bibtex] [Abstract]
Lamborghini is late to a party that many thought it would never join – the launch of a sports utility vehicle. But does the Urus change everything the supercar brand stands for?
@article{doi:10.1002/wilm.10678, author = {Radley, Milford}, title = {Cars}, journal = {Wilmott}, volume = {2018}, number = {95}, pages = {70-71}, doi = {10.1002/wilm.10678}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10678}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10678}, abstract = {Lamborghini is late to a party that many thought it would never join – the launch of a sports utility vehicle. But does the Urus change everything the supercar brand stands for?} } - J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2018, iss. 95, pp. 72-72.
[Bibtex]@article{doi:10.1002/wilm.10679, author = {Darasz, Jan}, title = {The skewed world of Jan Darasz}, journal = {Wilmott}, volume = {2018}, number = {95}, pages = {72-72}, doi = {10.1002/wilm.10679}, url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/wilm.10679}, eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/wilm.10679} }
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