Volume 2020, Issue 107. Pages 1–72
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In this issue:
Bibliography
- “Contents,” Wilmott, vol. 2020, iss. 107, p. 1–1, 2020.
[Bibtex]@article {WILM:WILM10836, title = {Contents}, journal = {Wilmott}, volume = {2020}, number = {107}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10836}, doi = {10.1002/wilm.10836}, pages = {1--1}, year = {2020}, } - D. Tudball, “A little learnin' is a dangerous thing,” Wilmott, vol. 2020, iss. 107, p. 2–3, 2020.
[Bibtex]@article {WILM:WILM10837, author = {Tudball, Dan}, title = {A Little Learnin' Is a Dangerous Thing}, journal = {Wilmott}, volume = {2020}, number = {107}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10837}, doi = {10.1002/wilm.10837}, pages = {2--3}, year = {2020}, } - “News,” Wilmott, vol. 2020, iss. 107, p. 4–5, 2020.
[Bibtex]@article {WILM:WILM10838, title = {News}, journal = {Wilmott}, volume = {2020}, number = {107}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10838}, doi = {10.1002/wilm.10838}, pages = {4--5}, year = {2020}, } - A. Brown, “Pandemic bonds,” Wilmott, vol. 2020, iss. 107, p. 6–8, 2020.
[Bibtex] [Abstract]
Giveaways to the righ or toxic to investors? Or, perhaps, a concept that is the best path to a peaceful, secure, prosperous future.
@article {WILM:WILM10839, author = {Brown, Aaron}, title = {Pandemic Bonds}, journal = {Wilmott}, volume = {2020}, number = {107}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10839}, doi = {10.1002/wilm.10839}, pages = {6--8}, year = {2020}, abstract = {Giveaways to the righ or toxic to investors? Or, perhaps, a concept that is the best path to a peaceful, secure, prosperous future.}, } - R. Poulsen, “A tragedy of errors: tales of innumeracy,” Wilmott, vol. 2020, iss. 107, p. 9–11, 2020.
[Bibtex] [Abstract]
This issue's column is quite inside baseball, or because of the distinct Danish angle inside handball. It contains several examples of innumeracy by people who should know better. That's just no cricket.
@article {WILM:WILM10840, author = {Poulsen, Rolf}, title = {A Tragedy of Errors: Tales of Innumeracy}, journal = {Wilmott}, volume = {2020}, number = {107}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10840}, doi = {10.1002/wilm.10840}, pages = {9--11}, year = {2020}, abstract = {This issue's column is quite inside baseball, or because of the distinct Danish angle inside handball. It contains several examples of innumeracy by people who should know better. That's just no cricket.}, } - U. Wystup, “Kiko tart revival in asia,” Wilmott, vol. 2020, iss. 107, p. 12–19, 2020.
[Bibtex] [Abstract]
Target forwards and their variants have been among the most traded structured products in the FX derivatives market, but as yet are not given much attention.)
@article {WILM:WILM10841, author = {Wystup, Uwe}, title = {KIKO TART Revival in Asia}, journal = {Wilmott}, volume = {2020}, number = {107}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10841}, doi = {10.1002/wilm.10841}, pages = {12--19}, year = {2020}, abstract = {Target forwards and their variants have been among the most traded structured products in the FX derivatives market, but as yet are not given much attention.)}, } - N. N. Taleb, “Transaction costs: much smaller than we thought,” Wilmott, vol. 2020, iss. 107, p. 20–33, 2020.
[Bibtex] [Abstract]
We analyze the economics of transaction costs in dynamic hedging of contingent claims, making the case for a representative dynamic hedging agent. We argue that the most efficient dynamic hedger incurs no transaction costs when owning options. Furthermore, as options are rarely replicated until maturity, the expected transaction costs of the short options depend mostly on the dynamics of the order flow in the option markets — not on the direct costs of transacting. The conclusion is that transaction costs are a fraction of what has been assumed to be in the literature. For the efficient operators (and those operators only), markets are more dynamically complete than anticipated.
@article {WILM:WILM10842, author = {Brown, Aaron}, author = {Taleb, Nassim Nicholas}, title = {Transaction Costs: Much Smaller than We Thought}, journal = {Wilmott}, volume = {2020}, number = {107}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10842}, doi = {10.1002/wilm.10842}, pages = {20--33}, year = {2020}, abstract = {We analyze the economics of transaction costs in dynamic hedging of contingent claims, making the case for a representative dynamic hedging agent. We argue that the most efficient dynamic hedger incurs no transaction costs when owning options. Furthermore, as options are rarely replicated until maturity, the expected transaction costs of the short options depend mostly on the dynamics of the order flow in the option markets — not on the direct costs of transacting. The conclusion is that transaction costs are a fraction of what has been assumed to be in the literature. For the efficient operators (and those operators only), markets are more dynamically complete than anticipated.}, } - M. Leonard and B. Ziemba, “Team composition: are the best players on the best teams?,” Wilmott, vol. 2020, iss. 107, p. 34–41, 2020.
[Bibtex] [Abstract]
If you want a two‐word answer: LaDainian Tomlinson. If you want analysis, read on…
@article {WILM:WILM10843, author = {Leonard, MacLean and Ziemba, Bill}, title = {Team Composition: Are the Best Players on the Best Teams?}, journal = {Wilmott}, volume = {2020}, number = {107}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10843}, doi = {10.1002/wilm.10843}, pages = {34--41}, year = {2020}, abstract = {If you want a two‐word answer: LaDainian Tomlinson. If you want analysis, read on…}, } - Q. Guo and A. Swishchuk, “Multivariate general compound hawkes processes and their applications in limit order books,” Wilmott, vol. 2020, iss. 107, p. 42–51, 2020.
[Bibtex] [Abstract]
In this paper, we focus on various new multivariate Hawkes processes. We constructed multivariate general compound Hawkes processes (MGCHPs) and investigated their properties in limit order books. For the MGCHPs, we proved the law of large numbers (LLN) and two functional central limit theorems (FCLTs), the latter providing insights into the link between price volatilities and order flows in limit order books with several assets. Numerical examples with Intel and Microsoft trading data are also provided.
@article {WILM:WILM10844, author = {Guo, Qia and Swishchuk, Anatoliy}, title = {Multivariate General Compound Hawkes Processes and their Applications in Limit Order Books}, journal = {Wilmott}, volume = {2020}, number = {107}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10844}, doi = {10.1002/wilm.10844}, pages = {42--51}, keywords = {Hawkes processes, multivariate general compound Hawkes processes, LLN, FCLTs, Limit order books, LOBSTER data}, year = {2020}, abstract = {In this paper, we focus on various new multivariate Hawkes processes. We constructed multivariate general compound Hawkes processes (MGCHPs) and investigated their properties in limit order books. For the MGCHPs, we proved the law of large numbers (LLN) and two functional central limit theorems (FCLTs), the latter providing insights into the link between price volatilities and order flows in limit order books with several assets. Numerical examples with Intel and Microsoft trading data are also provided.}, } - P. S. Hagan, A. S. Lesniewski, G. E. Skoufis, and D. E. Woodward, “Digital option valuation with the sabr model,” Wilmott, vol. 2020, iss. 107, p. 52–69, 2020.
[Bibtex] [Abstract]
We analyze the valuation of European digital call and put options in the market standard SABR stochastic volatility model. Asymptotic methods developed for the arbitrage‐free SABR model are used to obtain explicit, closed‐form formulae for the valuation of European digital call and put options under the SABR model. Results derived in this paper have the same order of accuracy as the closed‐form SABR formulae, and they exactly satisfy put‐call parity for digital options.
@article {WILM:WILM10845, author = {Hagan, Patrick S. and Lesniewski, Andrew S. and Skoufis, G. E. and Woodward, Diana E.}, title = {Digital Option Valuation With the SABR Model}, journal = {Wilmott}, volume = {2020}, number = {107}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10845}, doi = {10.1002/wilm.10845}, pages = {52--69}, keywords = {SABR model, digital option, closed form}, year = {2020}, abstract = {We analyze the valuation of European digital call and put options in the market standard SABR stochastic volatility model. Asymptotic methods developed for the arbitrage‐free SABR model are used to obtain explicit, closed‐form formulae for the valuation of European digital call and put options under the SABR model. Results derived in this paper have the same order of accuracy as the closed‐form SABR formulae, and they exactly satisfy put‐call parity for digital options.}, } - M. Radley, “Cars,” Wilmott, vol. 2020, iss. 107, p. 70–71, 2020.
[Bibtex] [Abstract]
The fastest sports utility vehicle in the world also aims at being one of the most comfortable and technologically advanced means of crushing entire continents with the light press of a pedal.
@article {WILM:WILM10846, author = {Radley, Milford}, title = {Cars}, journal = {Wilmott}, volume = {2020}, number = {107}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10846}, doi = {10.1002/wilm.10846}, pages = {70--71}, year = {2020}, abstract = {The fastest sports utility vehicle in the world also aims at being one of the most comfortable and technologically advanced means of crushing entire continents with the light press of a pedal.}, } - J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2020, iss. 107, p. 72–72, 2020.
[Bibtex]@article {WILM:WILM10847, author = {Darasz, Jan}, title = {The skewed world of Jan Darasz}, journal = {Wilmott}, volume = {2020}, number = {107}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10847}, doi = {10.1002/wilm.10847}, pages = {72--72}, year = {2020}, }
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