Wilmott Magazine: November 2019 issue

Volume 2019, Issue 104. Pages 1–96

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In this issue:

Bibliography

  • [DOI] “Contents,” Wilmott, vol. 2019, iss. 104, p. 1–1, 2019.
    [Bibtex]
    @article {WILM:WILM10796,
    title = {Contents},
    journal = {Wilmott},
    volume = {2019},
    number = {104},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10796},
    doi = {10.1002/wilm.10796},
    pages = {1--1},
    year = {2019},
    }
  • [DOI] D. Tudball, “The age of miracles has not passed,” Wilmott, vol. 2019, iss. 104, p. 2–3, 2019.
    [Bibtex]
    @article {WILM:WILM10797,
    author = {Tudball, Dan},
    title = {The Age of Miracles Has Not Passed},
    journal = {Wilmott},
    volume = {2019},
    number = {104},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10797},
    doi = {10.1002/wilm.10797},
    pages = {2--3},
    year = {2019},
    abstract = {Our feeling, unfortunately, is that Marc's article will be far from useless.},
    }
  • [DOI] “News,” Wilmott, vol. 2019, iss. 104, p. 4–7, 2019.
    [Bibtex]
    @article {WILM:WILM10798,
    title = {News},
    journal = {Wilmott},
    volume = {2019},
    number = {104},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10798},
    doi = {10.1002/wilm.10798},
    pages = {4--7},
    year = {2019},
    }
  • [DOI] CLS, “The value of trading volume in fx: a trader's advantage?,” Wilmott, vol. 2019, iss. 104, p. 8–11, 2019.
    [Bibtex]
    @article {WILM:WILM10799,
    author = {CLS},
    title = {The Value of Trading Volume in FX: A Trader's Advantage?},
    journal = {Wilmott},
    volume = {2019},
    number = {104},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10799},
    doi = {10.1002/wilm.10799},
    pages = {8--11},
    year = {2019},
    abstract = {Not long ago, decentralization of the FX market hindered real time access to global trade volumes. Things have changed…},
    }
  • [DOI] A. Brown, “Can we solve global warming with a little linear logic and a handshake?,” Wilmott, vol. 2019, iss. 104, p. 12–15, 2019.
    [Bibtex]
    @article {WILM:WILM10800,
    author = {Brown, Aaron},
    title = {Can We Solve Global Warming with a Little Linear Logic and a Handshake?},
    journal = {Wilmott},
    volume = {2019},
    number = {104},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10800},
    doi = {10.1002/wilm.10800},
    pages = {12--15},
    year = {2019},
    abstract = {Spoiler: I don't know he answer but some upcoming experiments in cryptocurrency may point the was toward an answer.},
    }
  • [DOI] U. Wystup, “Shedding light on common misconceptions,” Wilmott, vol. 2019, iss. 104, p. 16–19, 2019.
    [Bibtex]
    @article {WILM:WILM10801,
    author = {Wystup, Uwe},
    title = {Shedding Light on Common Misconceptions},
    journal = {Wilmott},
    volume = {2019},
    number = {104},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10801},
    doi = {10.1002/wilm.10801},
    pages = {16--19},
    year = {2019},
    abstract = {Payoff, P&L and financial exchange rate diagrams, the risk of short options, and a long call option with a negative time value.)},
    }
  • [DOI] C. Doloc, “The emergence of a new engineering discipline,” Wilmott, vol. 2019, iss. 104, p. 20–23, 2019.
    [Bibtex]
    @article {WILM:WILM10802,
    author = {Doloc, Cris},
    title = {The Emergence of a New Engineering Discipline},
    journal = {Wilmott},
    volume = {2019},
    number = {104},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10802},
    doi = {10.1002/wilm.10802},
    pages = {20--23},
    year = {2019},
    abstract = {The next industrial revolution will require the emergence of a brand new engineering discipline, one that will be data‐driven, computationally intensive, biology‐inspired, and human‐centric.},
    }
  • [DOI] M. Henrard, “Libor: don't fallback, step forward,” Wilmott, vol. 2019, iss. 104, p. 24–35, 2019.
    [Bibtex]
    @article {WILM:WILM10803,
    author = {Henrard, Marc},
    title = {LIBOR: Don't Fallback, Step Forward},
    journal = {Wilmott},
    volume = {2019},
    number = {104},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10803},
    doi = {10.1002/wilm.10803},
    pages = {24--35},
    year = {2019},
    abstract = {Marc Henrard examines why the LIBOR fallback proposals are not satisfactory – explaining why the main proposal is not achievable in practice and a fundamental revision of the fallback's foundations is required. Henrard describes the value transfer coming from the proposed adjustment spread computation. Part of the transfer has already taken place, and more will take place in the near future. The source of the value transfer is analyzed and a quantitative analysis of the spreads is provided and compared to recent market movements.},
    }
  • [DOI] A. Savine, “Computation graphs for aad and machine learning part i: introduction to computation graphs and automatic differentiation,” Wilmott, vol. 2019, iss. 104, p. 36–61, 2019.
    [Bibtex]
    @article {WILM:WILM10804,
    author = {Savine, Antoine},
    title = {Computation Graphs for AAD and Machine Learning Part I: Introduction to Computation Graphs and Automatic Differentiation},
    journal = {Wilmott},
    volume = {2019},
    number = {104},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10804},
    doi = {10.1002/wilm.10804},
    pages = {36--61},
    year = {2019},
    abstract = {First in a series of three articles with code, exploring the notion of computation graph, with words mathematics and code, and application in Machine Learning and finance to compute a vast number of derivative sensitivities with spectacular speed and accuracy.},
    }
  • [DOI] M. Aarons and V. Ender, “An introduction to securitization swaps,” Wilmott, vol. 2019, iss. 104, p. 62–69, 2019.
    [Bibtex]
    @article {WILM:WILM10805,
    author = {Aarons, Mark and Ender, Vlad},
    title = {An Introduction to Securitization Swaps},
    journal = {Wilmott},
    volume = {2019},
    number = {104},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10805},
    doi = {10.1002/wilm.10805},
    pages = {62--69},
    year = {2019},
    abstract = {Despite a combined market value of trillions of dollars, Securitization Swaps have long been neglected in both the practitioner and academic literature. Securitisation Swaps: A Practitioner's Handbook closes this gap.},
    }
  • [DOI] B. Ziemba, “The pick 6 and the rainbow pick 6,” Wilmott, vol. 2019, iss. 104, p. 70–81, 2019.
    [Bibtex]
    @article {WILM:WILM10806,
    author = {Ziemba, Bill},
    title = {The Pick 6 and the Rainbow Pick 6},
    journal = {Wilmott},
    volume = {2019},
    number = {104},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10806},
    doi = {10.1002/wilm.10806},
    pages = {70--81},
    year = {2019},
    abstract = {Prepare to handicap the handicappers if you're set on the six.},
    }
  • [DOI] L. Shegalov, “Brownian bridge over quasi and pseudo random numbers,” Wilmott, vol. 2019, iss. 104, p. 82–93, 2019.
    [Bibtex]
    @article {WILM:WILM10807,
    author = {Shegalov, Leon},
    title = {Brownian Bridge Over Quasi and Pseudo Random Numbers},
    journal = {Wilmott},
    volume = {2019},
    number = {104},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10807},
    doi = {10.1002/wilm.10807},
    pages = {82--93},
    keywords = {multidimensional Brownian bridge, Brownian bridge, Monte Carlo, pseudo random numbers, quasi random numbers, Sobol sequence},
    year = {2019},
    abstract = {Typical Monte Carlo (MC) simulation in finance starts with the generation of d‐dimensional vectors of independent uniform [0,1] random numbers. Quasi random numbers (i.e. Sobol sequence) have a significant advantage over pseudo random numbers (like the Mersenne Twister) in MC simulations. A Brownian bridge over a single factor is a typical technique to improve MC convergence Here we expand the Brownian bridge idea to time‐dependent multivariate diffusion.},
    }
  • [DOI] M. Radley, “Cars,” Wilmott, vol. 2019, iss. 104, p. 94–95, 2019.
    [Bibtex]
    @article {WILM:WILM10808,
    author = {Radley, Milford},
    title = {Cars},
    journal = {Wilmott},
    volume = {2019},
    number = {104},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10808},
    doi = {10.1002/wilm.10808},
    pages = {94--95},
    year = {2019},
    abstract = {In case we needed reminding that electricity is going to be the preferred option for powering our cars in the not too distance future, Lotus propels itself into new territory with its first hyper car.},
    }
  • [DOI] J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2019, iss. 104, p. 96–96, 2019.
    [Bibtex]
    @article {WILM:WILM10809,
    author = {Darasz, Jan},
    title = {The skewed world of Jan Darasz},
    journal = {Wilmott},
    volume = {2019},
    number = {104},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10809},
    doi = {10.1002/wilm.10809},
    pages = {96--96},
    year = {2019},
    }

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