Wilmott Magazine: November 2018 issue

Volume 2018, Issue 98. Pages 1–98

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. 2018, iss. 98, p. 1–1, 2018.
    [Bibtex]
    @article {WILM:WILM10713,
    title = {Contents},
    journal = {Wilmott},
    volume = {2018},
    number = {98},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10713},
    doi = {10.1002/wilm.10713},
    pages = {1--1},
    year = {2018},
    }
  • [DOI] D. Tudball, “Another nickel in that there machine,” Wilmott, vol. 2018, iss. 98, p. 2–3, 2018.
    [Bibtex]
    @article {WILM:WILM10714,
    author = {Tudball, Dan},
    title = {Another Nickel in That There Machine},
    journal = {Wilmott},
    volume = {2018},
    number = {98},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10714},
    doi = {10.1002/wilm.10714},
    pages = {2--3},
    year = {2018},
    abstract = {Consider the dual nature of quantitative finance, as exemplified by two men – John Law and Isaac Newton.},
    }
  • [DOI] “News,” Wilmott, vol. 2018, iss. 98, p. 4–9, 2018.
    [Bibtex]
    @article {WILM:WILM10715,
    title = {News},
    journal = {Wilmott},
    volume = {2018},
    number = {98},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10715},
    doi = {10.1002/wilm.10715},
    pages = {4--9},
    year = {2018},
    }
  • [DOI] A. Brown, “The bull case for cryptocurrencies,” Wilmott, vol. 2018, iss. 98, p. 10–13, 2018.
    [Bibtex]
    @article {WILM:WILM10716,
    author = {Brown, Aaron},
    title = {The Bull Case for Cryptocurrencies},
    journal = {Wilmott},
    volume = {2018},
    number = {98},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10716},
    doi = {10.1002/wilm.10716},
    pages = {10--13},
    year = {2018},
    abstract = {Why Cryptos are more likely than not to succeed.},
    }
  • [DOI] S. Das, “Financialization and its discontents,” Wilmott, vol. 2018, iss. 98, p. 14–21, 2018.
    [Bibtex]
    @article {WILM:WILM10717,
    author = {Das, Satyajit},
    title = {Financialization and its Discontents},
    journal = {Wilmott},
    volume = {2018},
    number = {98},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10717},
    doi = {10.1002/wilm.10717},
    pages = {14--21},
    year = {2018},
    abstract = {Something old, something new, something borrowed, something borrowed…},
    }
  • [DOI] R. Bogni, “The economics of migration,” Wilmott, vol. 2018, iss. 98, p. 22–23, 2018.
    [Bibtex]
    @article {WILM:WILM10718,
    author = {Bogni, Rudi},
    title = {The Economics of Migration},
    journal = {Wilmott},
    volume = {2018},
    number = {98},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10718},
    doi = {10.1002/wilm.10718},
    pages = {22--23},
    year = {2018},
    abstract = {Analysis of the economics that lead to massive migration and the economics of migration itself is inadequate.},
    }
  • [DOI] T. Guida and G. Coqueret, “Machine learning in systematic equity allocation: a model comparison,” Wilmott, vol. 2018, iss. 98, p. 24–33, 2018.
    [Bibtex]
    @article {WILM:WILM10719,
    author = {Guida, Tony and Coqueret, Guillaume},
    title = {Machine Learning in Systematic Equity Allocation: A Model Comparison},
    journal = {Wilmott},
    volume = {2018},
    number = {98},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10719},
    doi = {10.1002/wilm.10719},
    pages = {24--33},
    year = {2018},
    abstract = {Recent criticisms suggest that Machine Learning-based approaches only suite predicting very short-term price movements. Tony Guida and Guillaume Coqueret apply well-known ML algorithms to systematic equity investment, presenting a methodology which shows a critical stage of feature and label engineering, a stet that helps uncover hidden structures in the equity market space. Only then, the authors argue, can a modern quantitative approach make accurate long-term predictions.},
    }
  • [DOI] U. Wystup, “How can a 50/50 bet have odds of 1:2 instead of 1:1?,” Wilmott, vol. 2018, iss. 98, p. 34–35, 2018.
    [Bibtex]
    @article {WILM:WILM10720,
    author = {Wystup, Uwe},
    title = {How Can a 50/50 Bet Have Odds of 1:2 Instead of 1:1?},
    journal = {Wilmott},
    volume = {2018},
    number = {98},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10720},
    doi = {10.1002/wilm.10720},
    pages = {34--35},
    year = {2018},
    abstract = {Common questions about digital options with not-so-common answers…},
    }
  • [DOI] R. Poulsen, “This is not sparta: a joint effort,” Wilmott, vol. 2018, iss. 98, p. 36–39, 2018.
    [Bibtex]
    @article {WILM:WILM10721,
    author = {Poulsen, Rolf},
    title = {This Is Not Sparta: A Joint Effort},
    journal = {Wilmott},
    volume = {2018},
    number = {98},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10721},
    doi = {10.1002/wilm.10721},
    pages = {36--39},
    year = {2018},
    abstract = {300 Greeks won't stop us…},
    }
  • [DOI] L. MacLean, B. Ziemba, and A. Korgan, “The expected utility of performance: dominant batting seasons in baseball,” Wilmott, vol. 2018, iss. 98, p. 40–43, 2018.
    [Bibtex]
    @article {WILM:WILM10722,
    author = {MacLean, Leonard and Ziemba, Bill and Korgan, Austin},
    title = {The Expected Utility of Performance: Dominant Batting Seasons in Baseball},
    journal = {Wilmott},
    volume = {2018},
    number = {98},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10722},
    doi = {10.1002/wilm.10722},
    pages = {40--43},
    year = {2018},
    abstract = {Adding some new approaches to an appreciation of the legacies of Bonds, Ruth, and Williams.},
    }
  • [DOI] P. S. Hagan, A. S. Lesniewski, and D. E. Woodward, “Implied volatility formulas for heston models,” Wilmott, vol. 2018, iss. 98, p. 44–57, 2018.
    [Bibtex]
    @article {WILM:WILM10723,
    author = {Hagan, Patrick S. and Lesniewski, Andrew S. and Woodward, Diana E.},
    title = {Implied Volatility Formulas for Heston Models},
    journal = {Wilmott},
    volume = {2018},
    number = {98},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10723},
    doi = {10.1002/wilm.10723},
    pages = {44--57},
    keywords = {Heston model, SABR, stochastic volatility, derivatives, smiles, effective media},
    year = {2018},
    abstract = {We combine singular perturbation techniques with an effective media argument to analyze the general Heston model:
    
    dF˜=εσTΣ˜1/2C%F˜dW˜1,dΣ˜=κTΛT%Σ˜dT+εωTΣ˜%1/2dW˜2,dW˜1dW˜2=ρTdT.
    We first show that the marginal probability density Q(T, F) satisfies an effective 1‐d forward equation through O(ε2). We analyze this 1‐d forward equation using an effective media approach. For any given expiry date Tex, this analysis yields effective SABR parameters αeff, ρeff, νeff and shows that the marginal density of the SABR model at Tex matches the marginal density of the Heston model at Tex, again to within O(ε2). Thus, the implied volatility smile σN(Tex, K) for the Heston model is given by the original SABR implied vol formula with these parameters to within O(ε2)},
    }
  • [DOI] J. Riposo, “Some spectral asset management methods,” Wilmott, vol. 2018, iss. 98, p. 58–69, 2018.
    [Bibtex]
    @article {WILM:WILM10724,
    author = {Riposo, Julien},
    title = {Some Spectral Asset Management Methods},
    journal = {Wilmott},
    volume = {2018},
    number = {98},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10724},
    doi = {10.1002/wilm.10724},
    pages = {58--69},
    keywords = {matrix, SVD, returns, idiosyncratic, Sharpe Ratio, asset management},
    year = {2018},
    abstract = {This study outlines the renewal of indicators for guiding a portfolio manager to a practical asset allocation. The indicators are the Sharpe and Information Ratios, which provide assessment of statistical significance of the performance differentiating skill from luck. This methodology uses the return decomposition into a market return component, plus an idiosyncratic term. The main issue with this approach is that the idiosyncratic term is unknown, and the indication for an asset allocation is then not possible. This study aims to provide a decomposition method from Matrix Theory for characterizing in-sample each term of the return decomposition from a matrix of returns, which will therefore allow the development of a practical asset allocation method. In particular, a new Sharpe ratio is shown as the ratio SR = MV/mSD, where MV is the market value, and mSD is the minimal standard deviation of the portfolio over the management period of time. The content of this formula allows to asses that, in order to increase the Sharpe ratio, the manager needs to create a portfolio whose assets are overall largely correlated. This Sharpe ratio is derived from the common definition of the ratio using our matrix approach, which, in addition, we connect with a Law of Active Management given by IR=INDIBR1, where IR is related to the data information the manager has, IN is the data inhomogeneity coefficient, DI is the portfolio diversification coefficient, and BR is the breadth, ie the number of independent forecasts. It is worth pointing out that these ratios are connected to the common ones used in industry, and are potential strategy measures that can be used for management purposes.},
    }
  • [DOI] M. Radley, “Cars,” Wilmott, vol. 2018, iss. 98, p. 70–71, 2018.
    [Bibtex]
    @article {WILM:WILM10725,
    author = {Radley, Milford},
    title = {Cars},
    journal = {Wilmott},
    volume = {2018},
    number = {98},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10725},
    doi = {10.1002/wilm.10725},
    pages = {70--71},
    year = {2018},
    abstract = {Ferrari unleashes its swoopy 488 Pista as a fitting homage to the race-derived variants of the road-going 488 GTB.},
    }
  • [DOI] J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2018, iss. 98, p. 72–72, 2018.
    [Bibtex]
    @article {WILM:WILM10726,
    author = {Darasz, Jan},
    title = {The skewed world of Jan Darasz},
    journal = {Wilmott},
    volume = {2018},
    number = {98},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10726},
    doi = {10.1002/wilm.10726},
    pages = {72--72},
    year = {2018},
    }

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

Related Posts

Wilmott Magazine: September 2018 issue Volume 2018, Issue 97. Pages 1–84   Every issue we bring you original material from some of the best columnists, educators and cutting-...
Wilmott Magazine: July 2018 issue Volume 2018, Issue 96. Pages 1–60   Every issue we bring you original material from some of the best columnists, educators and cutting-...
Wilmott Magazine: May 2018 issue Volume 2018, Issue 95. Pages 1–72 Every issue we bring you original material from some of the best columnists, educators and cutting-edge resea...
Wilmott Magazine: March 2018 issue Volume 2018, Issue 94. Pages 1–60 Every issue we bring you original material from some of the best columnists, educators and cutting-edge resea...
Wilmott Magazine: January 2018 issue Volume 2018, Issue 93. Pages 1–72 Every issue we bring you original material from some of the best columnists, educators and cutting-edge resea...
Wilmott Magazine: November 2017 issue Volume 2017, Issue 92. Pages 1–60 Every issue we bring you original material from some of the best columnists, educators and cutting-edge rese...
Wilmott Magazine: Sept 2017 issue Volume 2017, Issue 91. Pages 1–60 Every issue we bring you original material from some of the best columnists, educators and cutting-edge resea...
Wilmott Magazine: July 2017 issue Volume 2017, Issue 90. Pages 1–60 Every issue we bring you original material from some of the best columnists, educators and cutting-edge resea...