Wilmott Magazine: May 2019 issue

Volume 2019, Issue 101. Pages 1–72

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In this issue:

Bibliography

  • [DOI] “Contents,” Wilmott, vol. 2019, iss. 101, p. 1–1, 2019.
    [Bibtex]
    @article {WILM:WILM10755,
    title = {Contents},
    journal = {Wilmott},
    volume = {2019},
    number = {101},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10755},
    doi = {10.1002/wilm.10755},
    pages = {1--1},
    year = {2019},
    }
  • [DOI] D. Tudball, “All the men just call him “sir”,” Wilmott, vol. 2019, iss. 101, p. 2–3, 2019.
    [Bibtex]
    @article {WILM:WILM10756,
    author = {Tudball, Dan},
    title = {All the Men Just Call Him “Sir”},
    journal = {Wilmott},
    volume = {2019},
    number = {101},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10756},
    doi = {10.1002/wilm.10756},
    pages = {2--3},
    year = {2019},
    abstract = {This may represent the first example of an SV model combining exact solutions, GBM‐type volatility noise, and a stationary volatility density.},
    }
  • [DOI] “News,” Wilmott, vol. 2019, iss. 101, p. 4–11, 2019.
    [Bibtex]
    @article {WILM:WILM10757,
    title = {News},
    journal = {Wilmott},
    volume = {2019},
    number = {101},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10757},
    doi = {10.1002/wilm.10757},
    pages = {4--11},
    year = {2019},
    }
  • [DOI] A. Brown, “Mechanical theorems,” Wilmott, vol. 2019, iss. 101, p. 12–15, 2019.
    [Bibtex]
    @article {WILM:WILM10758,
    author = {Brown, Aaron},
    title = {Mechanical Theorems},
    journal = {Wilmott},
    volume = {2019},
    number = {101},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10758},
    doi = {10.1002/wilm.10758},
    pages = {12--15},
    year = {2019},
    abstract = {Quantitative finance has not yet found its Archimedes.},
    }
  • [DOI] R. Poulsen, “Non‐normality restored,” Wilmott, vol. 2019, iss. 101, p. 16–17, 2019.
    [Bibtex]
    @article {WILM:WILM10759,
    author = {Poulsen, Rolf},
    title = {Non‐normality restored},
    journal = {Wilmott},
    volume = {2019},
    number = {101},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10759},
    doi = {10.1002/wilm.10759},
    pages = {16--17},
    year = {2019},
    abstract = {This time we look at some recent work on volatilitly modelling. (It should really say non‐lognormality in the title, but that would make it a lot less pithy.)},
    }
  • [DOI] U. Wystup, “The sales‐margin transparency farce,” Wilmott, vol. 2019, iss. 101, p. 18–19, 2019.
    [Bibtex]
    @article {WILM:WILM10760,
    author = {Wystup, Uwe},
    title = {The Sales‐Margin Transparency Farce},
    journal = {Wilmott},
    volume = {2019},
    number = {101},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10760},
    doi = {10.1002/wilm.10760},
    pages = {18--19},
    year = {2019},
    abstract = {How does the sell side make money with financial products, particularly with zero‐cost strategies?},
    }
  • [DOI] A. L. Lewis, “Exact solutions for a gbm‐type stochastic volatility model having a stationery distribution,” Wilmott, vol. 2019, iss. 101, p. 20–41, 2019.
    [Bibtex]
    @article {WILM:WILM10761,
    author = {Lewis, Alan L.},
    title = {Exact Solutions for a GBM‐Type Stochastic Volatility Model Having a Stationery Distribution},
    journal = {Wilmott},
    volume = {2019},
    number = {101},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10761},
    doi = {10.1002/wilm.10761},
    pages = {20--41},
    year = {2019},
    abstract = {Alan Lewis discusses the background to the Extended Geometric Brownian Motion model introduced in this issue.},
    }
  • [DOI] S. D. Moffitt and W. T. Ziemba, “Does it pay to buy the pot in the canadian 6/49 lotto? implications for lottery design,” Wilmott, vol. 2019, iss. 101, p. 42–53, 2019.
    [Bibtex]
    @article {WILM:WILM10762,
    author = {Moffitt, Steven D. and Ziemba, William T.},
    title = {Does It Pay to Buy the Pot in the Canadian 6/49 Lotto? Implications for Lottery Design},
    journal = {Wilmott},
    volume = {2019},
    number = {101},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10762},
    doi = {10.1002/wilm.10762},
    pages = {42--53},
    keywords = {lottery design, buying the pot, mathematical edge, betting strategy},
    year = {2019},
    abstract = {Despite its unusual payout structure, the Canadian 6/49 Lottoc is one of the few government‐sponsored lotteries that has the potential for a favorable strategy we call “buying the pot.” By “buying the pot.” We mean that a syndicate buys each ticket in the lottery, ensuring that it holds a jackpot winner. We assume that the other bettors independently buy small numbers of tickets. This paper presents (1) a formula for the syndicate's expected return, (2) conditions under which buying the pot produces a significant postitive expected return, and (3) the implications of these findings for lottery design.},
    }
  • [DOI] P. S. Hagan and A. S. Lesniewski, “Bartlett's delta in the sabr model,” Wilmott, vol. 2019, iss. 101, p. 54–61, 2019.
    [Bibtex]
    @article {WILM:WILM10763,
    author = {Hagan, Patrick S. and Lesniewski, Andrew S.},
    title = {Bartlett's Delta in the SABR Model},
    journal = {Wilmott},
    volume = {2019},
    number = {101},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10763},
    doi = {10.1002/wilm.10763},
    pages = {54--61},
    keywords = {stochastic volatility, SABR model, hedging},
    year = {2019},
    abstract = {The presence of stochastic volatility in an option model impacts the values of the hedge ratios (the “greeks”), and in particular the option delta. In the context of the SABR model, the greeks were calculated in [1] based on the asymptotic expression for the implied volatility derived there. In [2], the option delta of [1] was modified to take into account the effects of the correlation between the dynamics of the forward and the stochastic volatility. It was empirically observed there that the modified delta (“Bartlett's delta”) provides a more accurate and robust hedging strategy than the original SABR delta. In this paper we refine the analysis of hedging strategies carried out in [2]. In particular, we provide a justification of the empirical observations regarding the robustness of the modified delta. This is done by means of an asymptotic analysis of the explicit expression for the implied volatility derived in [2]. In particular, we show that the modified option delta is practically insensitive to the choice of the CEV parameter β.},
    }
  • [DOI] L. M. García Muñoz, F. de Lope, and J. E. Palomar, “A retained earnings‐consistent kva approach and the impact of taxes,” Wilmott, vol. 2019, iss. 101, p. 62–69, 2019.
    [Bibtex]
    @article {WILM:WILM10764,
    author = {García Muñoz, Luis M. and de Lope, Fernando and Palomar, Juan E.},
    title = {A Retained Earnings‐Consistent KVA Approach and the Impact of Taxes},
    journal = {Wilmott},
    volume = {2019},
    number = {101},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10764},
    doi = {10.1002/wilm.10764},
    pages = {62--69},
    keywords = {KVA, XVA, retained earnings, capital, derivatives, taxes},
    year = {2019},
    abstract = {KVA represents the extra cost being charged by banks to non‐collateralized counterparties in order to remunerate banks' shareholders for the mandatory regulatory capital provided by them throughout the life of the deal. Therefore, KVA represents earnings charged to clients that must be retained in the bank's balance sheet and not be immediately paid out as dividends. Since retained earnings are part of core TIER I capital, future KVAs imply a deduction in today's KVA calculation. Another key component of KVA is the fact that shareholder's returns (dividends and capital gains) are generated after taxes are paid. Therefore, taxes should be reflected in the KVA formula. By treating KVA as retained earnings, we derive a pricing formula that is consistent with full replication of market, counterparty and funding risks, and that takes the effect of taxes into account. We provide a numerical example where the KVA obtained under this new formula is compared with other approaches yielding significantly lower adjustments. This numerical example also helps us to assess the relevance of taxes.},
    }
  • [DOI] M. Radley, “Cars,” Wilmott, vol. 2019, iss. 101, p. 70–71, 2019.
    [Bibtex]
    @article {WILM:WILM10765,
    author = {Radley, Milford},
    title = {Cars},
    journal = {Wilmott},
    volume = {2019},
    number = {101},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10765},
    doi = {10.1002/wilm.10765},
    pages = {70--71},
    year = {2019},
    abstract = {The iconic Renault A110 is back in an all‐new package that harks back to its beautiful predecessor of the 1960s and 1970s.},
    }
  • [DOI] J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2019, iss. 101, p. 72–72, 2019.
    [Bibtex]
    @article {WILM:WILM10766,
    author = {Darasz, Jan},
    title = {The skewed world of Jan Darasz},
    journal = {Wilmott},
    volume = {2019},
    number = {101},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10766},
    doi = {10.1002/wilm.10766},
    pages = {72--72},
    year = {2019},
    }

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