Wilmott Magazine: May 2021 issue

Volume 2021, Issue 113. Pages 1-72

Every issue we bring you original material from some of the best columnists, educators and cutting-edge researchers. Subscribe here.

In this issue:

Bibliography

  • [DOI] “Contents,” Wilmott, vol. 2021, iss. 113, p. 1–1, 2021.
    [Bibtex]
    @article {WILM:WILM10921,
    title = {Contents},
    journal = {Wilmott},
    volume = {2021},
    number = {113},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10921},
    doi = {10.1002/wilm.10921},
    pages = {1--1},
    year = {2021},
    }
  • [DOI] D. Tudball, “A little learning,” Wilmott, vol. 2021, iss. 113, p. 2–3, 2021.
    [Bibtex]
    @article {WILM:WILM10922,
    author = {Tudball, Dan},
    title = {A Little Learning},
    journal = {Wilmott},
    volume = {2021},
    number = {113},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10922},
    doi = {10.1002/wilm.10922},
    pages = {2--3},
    year = {2021},
    abstract = {The authors adopt the unsupervised spike‐timing‐dependent‐plasticity (STDP) learning method, such that teaching signals are no longer required.},
    }
  • [DOI] “News,” Wilmott, vol. 2021, iss. 113, p. 4–7, 2021.
    [Bibtex]
    @article {WILM:WILM10923,
    title = {News},
    journal = {Wilmott},
    volume = {2021},
    number = {113},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10923},
    doi = {10.1002/wilm.10923},
    pages = {4--7},
    year = {2021},
    }
  • [DOI] A. Brown, “Climate models: time for a sanity check?,” Wilmott, vol. 2021, iss. 113, p. 8–11, 2021.
    [Bibtex]
    @article {WILM:WILM10924,
    author = {Brown, Aaron},
    title = {Climate Models: Time for a Sanity Check?},
    journal = {Wilmott},
    volume = {2021},
    number = {113},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10924},
    doi = {10.1002/wilm.10924},
    pages = {8--11},
    year = {2021},
    abstract = {ARIMA, a standard time series forecasting technique, provides useful counterpoint to models that rely more on faith then they let on…},
    }
  • [DOI] R. Poulsen, “Non‐numerical recipes,” Wilmott, vol. 2021, iss. 113, p. 12–13, 2021.
    [Bibtex]
    @article {WILM:WILM10925,
    author = {Poulsen, Rolf},
    title = {Non‐numerical Recipes},
    journal = {Wilmott},
    volume = {2021},
    number = {113},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10925},
    doi = {10.1002/wilm.10925},
    pages = {12--13},
    year = {2021},
    abstract = {Describing and implementing improvements to two widespread algorithms and showing that the results were delicious.},
    }
  • [DOI] U. Wystup, “Vedic mathematics ‐ teaching an old dog new tricks,” Wilmott, vol. 2021, iss. 113, p. 14–17, 2021.
    [Bibtex]
    @article {WILM:WILM10926,
    author = {Wystup, Uwe},
    title = {Vedic Mathematics ‐ Teaching an Old Dog New Tricks},
    journal = {Wilmott},
    volume = {2021},
    number = {113},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10926},
    doi = {10.1002/wilm.10926},
    pages = {14--17},
    year = {2021},
    abstract = {A chance discovery at an Indian railway station leads to a powerful mental arithmetic system.},
    }
  • [DOI] K. Gao, W. Luk, and S. Weston, “High‐frequency trading and financial time‐series prediction with spiking neural networks,” Wilmott, vol. 2021, iss. 113, p. 18–33, 2021.
    [Bibtex]
    @article {WILM:WILM10927,
    author = {Gao, Kang and Luk, Wayne and Weston, Stephen},
    title = {High‐Frequency Trading and Financial Time‐Series Prediction with Spiking Neural Networks},
    journal = {Wilmott},
    volume = {2021},
    number = {113},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10927},
    doi = {10.1002/wilm.10927},
    pages = {18--33},
    year = {2021},
    abstract = {A novel new method is introduced ‐ “unsupervised spike learning” ‐ which predicts spikes in price time series instead of price movement and direction. Three rewarding high‐frequency trading strategies are developed and backtested by Kang Gao, Wayne Luk, and Stephen Weston.},
    }
  • [DOI] L. MacLean and B. Ziemba, “The covid‐19 nfl playoffs and super bowl 2020–2021,” Wilmott, vol. 2021, iss. 113, p. 34–49, 2021.
    [Bibtex]
    @article {WILM:WILM10928,
    author = {MacLean, Len and Ziemba, Bill},
    title = {The COVID‐19 NFL Playoffs and Super Bowl 2020–2021},
    journal = {Wilmott},
    volume = {2021},
    number = {113},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10928},
    doi = {10.1002/wilm.10928},
    pages = {34--49},
    year = {2021},
    abstract = {The Covid‐19 pandemic, and the actions associated with attempting to arrest its spread, has greatly impacted sport. How did this affect the game results this season just passed?},
    }
  • [DOI] P. S. Hagan, A. S. Lewsniewski, G. E. Skoufis, and D. E. Woodward, “Sabr models for synthetic fx rates,” Wilmott, vol. 2021, iss. 113, p. 50–61, 2021.
    [Bibtex]
    @article {WILM:WILM10929,
    author = {Hagan, Patrick S. and Lewsniewski, Andrew S. and Skoufis, G. E. and Woodward, Diana E.},
    title = {SABR Models for Synthetic FX Rates},
    journal = {Wilmott},
    volume = {2021},
    number = {113},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10929},
    doi = {10.1002/wilm.10929},
    pages = {50--61},
    keywords = {FX, SABR, volatility, cross rates},
    year = {2021},
    abstract = {Let Xij be the forward FX rate for currency I in terms of currency j. Suppose that the volatility smiles for Xik and Xjk modeled with the log normal (β= 1) SABR model. We show that the cross FX rate Xij = Xik/Xjk is then governed by the log normal SABR model, and find explicit formulas for its SABR parameters β, ρ, ν in terms of the SABR parameters for Xik and Xjk. These results are not exact, but they are accurate through O(ε2), the same accuracy as the original SABR implied volatility formulas. We also extend this analysis to self‐consistent models for several currencies, where each currency pair can be driven by multiple factors.},
    }
  • [DOI] J. Hok and S. Kucherenko, “Pricing and rick analysis in hyperbolic local volatility model with quasi‐monte carlo,” Wilmott, vol. 2021, iss. 113, p. 62–69, 2021.
    [Bibtex]
    @article {WILM:WILM10930,
    author = {Hok, Julien and Kucherenko, Sergei},
    title = {Pricing and Rick Analysis in Hyperbolic Local Volatility Model with Quasi‐Monte Carlo},
    journal = {Wilmott},
    volume = {2021},
    number = {113},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10930},
    doi = {10.1002/wilm.10930},
    pages = {62--69},
    keywords = {Monte Carlo methods in finance, quasi‐Monte Carlo, Sobol sequences, Brownian bridge, skew/smile models, hyperbolic local volatility model},
    year = {2021},
    abstract = {Local volatility models usually capture the surface of implied volatilities more accurately than other approaches, such as stochastic volatility models. We present the results of application of Monte Carlo (MC) and quasi‐Monte Carlo (QMC) methods for derivative pricing and risk analysis based on Hyperbolic Local Volatility Model. In high‐dimensional integration QMC shows a superior performance over MC if the effective dimension of an integrand is not too large. In application to derivative pricing and computation of Greeks, effective dimensions depend on path discretization algorithms. The results presented for the Asian option show the superior performance of the QMC methods, especially for the Brownian Bridge discretization scheme.},
    }
  • [DOI] M. Radley, “Cars,” Wilmott, vol. 2021, iss. 113, p. 70–71, 2021.
    [Bibtex]
    @article {WILM:WILM10931,
    author = {Radley, Milford},
    title = {Cars},
    journal = {Wilmott},
    volume = {2021},
    number = {113},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10931},
    doi = {10.1002/wilm.10931},
    pages = {70--71},
    year = {2021},
    abstract = {Radical's latest track terror is so focused on one thing that you'd be hard‐pressed to believe that you can actually take is out on a public road as well.},
    }
  • [DOI] J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2021, iss. 113, p. 72–72, 2021.
    [Bibtex]
    @article {WILM:WILM10932,
    author = {Darasz, Jan},
    title = {The skewed world of Jan Darasz},
    journal = {Wilmott},
    volume = {2021},
    number = {113},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10932},
    doi = {10.1002/wilm.10932},
    pages = {72--72},
    year = {2021},
    }

More information about Wilmott magazine, for potential subscribers and submission of articles and research papers, can be found here.