Volume 2023, Issue 128. Pages 1-108
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In this issue:
- D. Tudball, “Contents,” Wilmott, vol. 2023, iss. 128, 2023.
[Bibtex] [Abstract]Contents
@article{WILM:WILM1115876, title = {{Contents}}, author = {Tudball, Daniel}, year = 2023, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2023, number = 128, doi = {10.54946/wilm.1115876}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.1115876}, abstract = {Contents} } - D. Tudball, “Anytime, Anywhere,” Wilmott, vol. 2023, iss. 128, 2023.
[Bibtex]@article{WILM:WILM1115877, title = {{Anytime, Anywhere}}, author = {Tudball, Daniel}, year = 2023, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2023, number = 128, doi = {10.54946/wilm.1115877}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.1115877}, abstract = {} } - G. Giller, “Learning About Trading Strategy by Driving Around,” Wilmott, vol. 2023, iss. 128, 2023.
[Bibtex] [Abstract]Driving in traffic is a stochastic optimization problem
@article{WILM:WILM1115878, title = {{Learning About Trading Strategy by Driving Around}}, author = {Giller, Graham}, year = 2023, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2023, number = 128, doi = {10.54946/wilm.1115878}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.1115878}, abstract = {Driving in traffic is a stochastic optimization problem} } - U. Wystup and S. Van Mulken, “Slope Matters to Land on the Right Price,” Wilmott, vol. 2023, iss. 128, 2023.
[Bibtex] [Abstract]Traders and Sales often argue that if you already have a volatility surface and can hence price all vanilla options for exotics, e.g., barrier options, all you need to do is add a barrier to the contract description and extract entry on the pricing screen. We will illustrate in this column why, unfortunately, it is not so easy, even for simple European digitals.
@article{WILM:WILM1115879, title = {{Slope Matters to Land on the Right Price}}, author = {Wystup, Uwe and Van Mulken, Sebastiaan}, year = 2023, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2023, number = 128, doi = {10.54946/wilm.1115879}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.1115879}, abstract = {Traders and Sales often argue that if you already have a volatility surface and can hence price all vanilla options for exotics, e.g., barrier options, all you need to do is add a barrier to the contract description and extract entry on the pricing screen. We will illustrate in this column why, unfortunately, it is not so easy, even for simple European digitals.} } - J. Andreasen, “Bump and Run,” Wilmott, vol. 2023, iss. 128, 2023.
[Bibtex] [Abstract]Banks use ridiculous amounts of computational resources on computing various risk measures. We discuss how this can be avoided using a cocktail of a big hybrid simulation model, adjoint differentiation and machine learning techniques, aka differential machine learning.
@article{WILM:WILM1115880, title = {{Bump and Run}}, author = {Andreasen, Jesper}, year = 2023, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2023, number = 128, doi = {10.54946/wilm.1115880}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.1115880}, abstract = {Banks use ridiculous amounts of computational resources on computing various risk measures. We discuss how this can be avoided using a cocktail of a big hybrid simulation model, adjoint differentiation and machine learning techniques, aka differential machine learning.} } - L. Ballabio, “The Observer Pattern in QuantLib,” Wilmott, vol. 2023, iss. 128, 2023.
[Bibtex] [Abstract]Where the pattern meets the road. Using the Observer pattern in QuantLibt to show some of the trade-offs and changes that a design pattern might have to undergo, in order to address constraints that come from real-world usage of a library
@article{WILM:WILM1115881, title = {{The Observer Pattern in QuantLib}}, author = {Ballabio, Luigi}, year = 2023, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2023, number = 128, doi = {10.54946/wilm.1115881}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.1115881}, abstract = {Where the pattern meets the road. Using the Observer pattern in QuantLibt to show some of the trade-offs and changes that a design pattern might have to undergo, in order to address constraints that come from real-world usage of a library} } - M. Kelly, “Financial Visualization and Trading Strategies,” Wilmott, vol. 2023, iss. 128, 2023.
[Bibtex] [Abstract]In this article we will focus on the various graphical and computational methods that are used to convey financial information, in particular on candlestick, price change and trading charts. We will also consider how financial indicators can be used to build trading strategies which allow for dynamic updating with changing stock prices
@article{WILM:WILM1115882, title = {{Financial Visualization and Trading Strategies}}, author = {Kelly, Michael}, year = 2023, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2023, number = 128, doi = {10.54946/wilm.1115882}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.1115882}, abstract = {In this article we will focus on the various graphical and computational methods that are used to convey financial information, in particular on candlestick, price change and trading charts. We will also consider how financial indicators can be used to build trading strategies which allow for dynamic updating with changing stock prices} } - D. Tudball, “CQF 20th Anniversary,” Wilmott, vol. 2023, iss. 128, 2023.
[Bibtex]@article{WILM:WILM1115883, title = {{CQF 20th Anniversary}}, author = {Tudball, Daniel}, year = 2023, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2023, number = 128, doi = {10.54946/wilm.1115883}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.1115883}, abstract = {} } - CQF, “CQF 20th Anniversary,” Wilmott, vol. 2023, iss. 128, 2023.
[Bibtex] [Abstract]20 years ago, Dr. Paul Wilmott, designed the Certificate in Quantitative Finance (CQF) to teach practical quant finance skills and bridge the gap between academia and industry. Fast forward two decades, the program and its syllabus have evolved to meet industry demands throughout the pre-financial crisis, post-financial crisis, and the modern era. As we celebrate the 20th anniversary of the qualification, Dr. Randeep Gug, Managing Director of the CQF and CQF Institute, joins Wilmott Magazine Editor, Dan Tudball, to reflect on key milestones for the program, discuss the secrets behind the two decades of success, and examine how the typical CQF delegate has changed over the years.
@article{WILM:WILM1115884, title = {{CQF 20th Anniversary}}, author = {CQF,}, year = 2023, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2023, number = 128, doi = {10.54946/wilm.1115884}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.1115884}, abstract = {20 years ago, Dr. Paul Wilmott, designed the Certificate in Quantitative Finance (CQF) to teach practical quant finance skills and bridge the gap between academia and industry. Fast forward two decades, the program and its syllabus have evolved to meet industry demands throughout the pre-financial crisis, post-financial crisis, and the modern era. As we celebrate the 20th anniversary of the qualification, Dr. Randeep Gug, Managing Director of the CQF and CQF Institute, joins Wilmott Magazine Editor, Dan Tudball, to reflect on key milestones for the program, discuss the secrets behind the two decades of success, and examine how the typical CQF delegate has changed over the years.} } - P. Wilmott, “A Quick Trip to the Risk-Neutral Planet,” Wilmott, vol. 2023, iss. 128, 2023.
[Bibtex] [Abstract]Thanks to many years of re-educating people in quantitative finance, I know thatthere is a lot of confusion about the concept of risk neutrality. I say “re”-educating because very often it is those with classical Master’s in Finance qualifications who are the most confused, precisely those who should have the best understanding. In my experience, Master’s can demonstrate that it works, i.e., go through the motions of proof, but that is less of a problem than the interpretation. In this paper, I give a description that I’ve been using on the CQF1 for decades but never fully put in writing before. This is a description of how it works, not why.
@article{WILM:WILM1115885, title = {{A Quick Trip to the Risk-Neutral Planet}}, author = {Wilmott, Paul}, year = 2023, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2023, number = 128, doi = {10.54946/wilm.1115885}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.1115885}, abstract = {Thanks to many years of re-educating people in quantitative finance, I know thatthere is a lot of confusion about the concept of risk neutrality. I say “re”-educating because very often it is those with classical Master’s in Finance qualifications who are the most confused, precisely those who should have the best understanding. In my experience, Master’s can demonstrate that it works, i.e., go through the motions of proof, but that is less of a problem than the interpretation. In this paper, I give a description that I’ve been using on the CQF1 for decades but never fully put in writing before. This is a description of how it works, not why.} } - CQF, “Chelvi Paramanathan,” Wilmott, vol. 2023, iss. 128, 2023.
[Bibtex] [Abstract]Chelvi Paramanathan earned the CQF in 2018. Chelvi started her career as an engineer in the scientific research industry in Singapore, before transitioning to a career in finance, and working her way up to her current role as Global Head of Pricing and Analytics for Agency Securities Finance and Collateral Services business at J.P. Morgan Chase & Co. We spoke to Chelvi about how she made the move into finance, the biggest challenges facing the industry over the next few years, and her advice for people looking for their next role in quant finance.
@article{WILM:WILM1115886, title = {{Chelvi Paramanathan}}, author = {CQF,}, year = 2023, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2023, number = 128, doi = {10.54946/wilm.1115886}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.1115886}, abstract = {Chelvi Paramanathan earned the CQF in 2018. Chelvi started her career as an engineer in the scientific research industry in Singapore, before transitioning to a career in finance, and working her way up to her current role as Global Head of Pricing and Analytics for Agency Securities Finance and Collateral Services business at J.P. Morgan Chase & Co. We spoke to Chelvi about how she made the move into finance, the biggest challenges facing the industry over the next few years, and her advice for people looking for their next role in quant finance.} } - P. Jäckel, “A Singular Gamma Variance Expansion,” Wilmott, vol. 2023, iss. 128, 2023.
[Bibtex] [Abstract]We give an analytical expansion for option prices and Black implied volatilities consistent with the Variance Gamma model [MCC98] based on a singular expansion of the standard gamma density in terms of the Dirac functions and its derivatives
@article{WILM:WILM1115887, title = {{A Singular Gamma Variance Expansion}}, author = {Jäckel, Peter}, year = 2023, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2023, number = 128, doi = {10.54946/wilm.1115887}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.1115887}, abstract = {We give an analytical expansion for option prices and Black implied volatilities consistent with the Variance Gamma model [MCC98] based on a singular expansion of the standard gamma density in terms of the Dirac functions and its derivatives} } - CQF, “Borja Garcia Haendler,” Wilmott, vol. 2023, iss. 128, 2023.
[Bibtex] [Abstract]Borja Garcia Haendler earned the CQF in 2013. Borja started his career as a Consultant for Indra and has since worked his way up to become Head of Market Risk and Product Control Asia at Julius Baer. We spoke to Borja about his transition from law to finance, the impact of new technologies, and the importance of interpersonal skills.
@article{WILM:WILM1115888, title = {{Borja Garcia Haendler}}, author = {CQF,}, year = 2023, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2023, number = 128, doi = {10.54946/wilm.1115888}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.1115888}, abstract = {Borja Garcia Haendler earned the CQF in 2013. Borja started his career as a Consultant for Indra and has since worked his way up to become Head of Market Risk and Product Control Asia at Julius Baer. We spoke to Borja about his transition from law to finance, the impact of new technologies, and the importance of interpersonal skills.} } - R. Ahmad, “The Full Monte – Euler vs. Milstein,” Wilmott, vol. 2023, iss. 128, 2023.
[Bibtex] [Abstract]A common problem in computational finance is the pricing of option contracts on single or multiple underlying financial assets. Calculating expected values of payoff functions contingent upon state variables, whose dynamics can be modeled by stochastic differential equations. Hence, Monte Carlo methods are a powerful technique for solving these equations computationally. This article uses the working of Fabrice Douglas Rouah to discuss the derivation of both Euler and Milstein schemes.
@article{WILM:WILM1115889, title = {{The Full Monte - Euler vs. Milstein}}, author = {Ahmad, Riaz}, year = 2023, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2023, number = 128, doi = {10.54946/wilm.1115889}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.1115889}, abstract = {A common problem in computational finance is the pricing of option contracts on single or multiple underlying financial assets. Calculating expected values of payoff functions contingent upon state variables, whose dynamics can be modeled by stochastic differential equations. Hence, Monte Carlo methods are a powerful technique for solving these equations computationally. This article uses the working of Fabrice Douglas Rouah to discuss the derivation of both Euler and Milstein schemes.} } - CQF, “Naomi Yarrow,” Wilmott, vol. 2023, iss. 128, 2023.
[Bibtex] [Abstract]Naomi Yarrow earned the CQF in 2006. Naomi started her career as a Quant in the product Control Valuations Group at ABN AMRO Bank before working her way up to her current role as Head of Capital Risk Oversight at NatWest Group. We spoke to Naomi to find out more about why she decided to pursue a career in quant finance, her advice for people looking to advance in quant finance roles, and the most rewarding things about working in the field.
@article{WILM:WILM1115890, title = {{Naomi Yarrow}}, author = {CQF,}, year = 2023, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2023, number = 128, doi = {10.54946/wilm.1115890}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.1115890}, abstract = {Naomi Yarrow earned the CQF in 2006. Naomi started her career as a Quant in the product Control Valuations Group at ABN AMRO Bank before working her way up to her current role as Head of Capital Risk Oversight at NatWest Group. We spoke to Naomi to find out more about why she decided to pursue a career in quant finance, her advice for people looking to advance in quant finance roles, and the most rewarding things about working in the field.} } - M. Henrard, “Bond futures: Delivery Option with Term Structure Modelling,” Wilmott, vol. 2023, iss. 128, 2023.
[Bibtex] [Abstract]Bond futures are characterized by a set of underlying bonds; the short party has the option to deliver at expiry any of those underlying bonds. Bond futures thus embed a choice option between bonds with different maturities and coupons. The delivery mechanism also incorporates conversion factors that create an implicit strike. The option is impacted by different maturities and different moneyness for each bond. It is important to take into account the full term structure of volatility with smile. A recent paper Bang and Daboussi (2022) developed such an approach for swap ratebased products like CMS. In this paper, we extend their approach to cover futures and apply it to the specific case of bond futures. We show the impact of smile, term structure of volatility and correlations between rates on the delivery option and convexity adjustment values.
@article{WILM:WILM1115891, title = {{Bond futures: Delivery Option with Term Structure Modelling}}, author = {Henrard, Marc}, year = 2023, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2023, number = 128, doi = {10.54946/wilm.1115891}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.1115891}, abstract = {Bond futures are characterized by a set of underlying bonds; the short party has the option to deliver at expiry any of those underlying bonds. Bond futures thus embed a choice option between bonds with different maturities and coupons. The delivery mechanism also incorporates conversion factors that create an implicit strike. The option is impacted by different maturities and different moneyness for each bond. It is important to take into account the full term structure of volatility with smile. A recent paper Bang and Daboussi (2022) developed such an approach for swap ratebased products like CMS. In this paper, we extend their approach to cover futures and apply it to the specific case of bond futures. We show the impact of smile, term structure of volatility and correlations between rates on the delivery option and convexity adjustment values.} } - CQF, “Tony Parish,” Wilmott, vol. 2023, iss. 128, 2023.
[Bibtex] [Abstract]Tony started his finance career as Vice President of Product Analysis at Oppenheimer Funds in New York back in 2002 and now works as the Chief Investment Officer of Alphastar Capital Management. We spoke to Tony about his career highlights, new challenges facing the industry today, and how the CQF added value to his career
@article{WILM:WILM1115892, title = {{Tony Parish}}, author = {CQF,}, year = 2023, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2023, number = 128, doi = {10.54946/wilm.1115892}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.1115892}, abstract = {Tony started his finance career as Vice President of Product Analysis at Oppenheimer Funds in New York back in 2002 and now works as the Chief Investment Officer of Alphastar Capital Management. We spoke to Tony about his career highlights, new challenges facing the industry today, and how the CQF added value to his career} } - S. Lleo, “Risk-Sensitive Investment Management: A Guide for Quants,” Wilmott, vol. 2023, iss. 128, 2023.
[Bibtex] [Abstract]Risk-sensitive investment management (RSIM) has emerged as a powerful approach that leverages the mathematics of stochastic control to address dynamic investment management problems. This note discusses RSIM and examines three practical implications of RSIM for investment managers. Firstly, RSIM models serve as a valuable tool for understanding and explaining the outcomes of realistic dynamic models. For example, they offer closed-form approximations of stochastic programming models. Secondly, RSIM sheds light on crucial investment management questions. RSIM enables practitioners to analyze the impact of various factors on investment performance, unravel the dynamics between active and passive management strategies, investigate the mechanics of learning within investment decisions, assess the value of expert opinions, and evaluate the effectiveness of stress test scenarios. Lastly, RSIM casts light on perilous strategies and practices that can lead to catastrophic losses for investment funds, such asexcessive betting or overbetting.
@article{WILM:WILM1115893, title = {{Risk-Sensitive Investment Management: A Guide for Quants}}, author = {Lleo, Sebastien}, year = 2023, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2023, number = 128, doi = {10.54946/wilm.1115893}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.1115893}, abstract = {Risk-sensitive investment management (RSIM) has emerged as a powerful approach that leverages the mathematics of stochastic control to address dynamic investment management problems. This note discusses RSIM and examines three practical implications of RSIM for investment managers. Firstly, RSIM models serve as a valuable tool for understanding and explaining the outcomes of realistic dynamic models. For example, they offer closed-form approximations of stochastic programming models. Secondly, RSIM sheds light on crucial investment management questions. RSIM enables practitioners to analyze the impact of various factors on investment performance, unravel the dynamics between active and passive management strategies, investigate the mechanics of learning within investment decisions, assess the value of expert opinions, and evaluate the effectiveness of stress test scenarios. Lastly, RSIM casts light on perilous strategies and practices that can lead to catastrophic losses for investment funds, such asexcessive betting or overbetting.} } - CQF, “Werner Trabesinger,” Wilmott, vol. 2023, iss. 128, 2023.
[Bibtex] [Abstract]Werner Trabesinger earned the CQF in 2016. Werner started his career as a Risk and Model Auditor at Zürcher Kantonalbank and has since worked his way up to become Head of Quant Products at Pexapark. We spoke to Werner about how he got to his current role, quant career opportunities in energy trading, and the skills quants will need in the future.
@article{WILM:WILM1115894, title = {{Werner Trabesinger}}, author = {CQF,}, year = 2023, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2023, number = 128, doi = {10.54946/wilm.1115894}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.1115894}, abstract = {Werner Trabesinger earned the CQF in 2016. Werner started his career as a Risk and Model Auditor at Zürcher Kantonalbank and has since worked his way up to become Head of Quant Products at Pexapark. We spoke to Werner about how he got to his current role, quant career opportunities in energy trading, and the skills quants will need in the future.} } - E. Haug, “God’s Money ,” Wilmott, vol. 2023, iss. 128, 2023.
[Bibtex] [Abstract]The Key to Unlimited Clean Energy and the Age of Abundance Ahead
@article{WILM:WILM1115895, title = {{God's Money }}, author = {Haug, Espen}, year = 2023, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2023, number = 128, doi = {10.54946/wilm.1115895}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.1115895}, abstract = {The Key to Unlimited Clean Energy and the Age of Abundance Ahead} } - P. Bielstein, J. Jaegers, and P. Wesson, “A Novel way to Diversify Portfolio Weights,” Wilmott, vol. 2023, iss. 128, 2023.
[Bibtex] [Abstract]There is broad agreement among academics and practitioners that, in general, a diversified portfolio delivers more robust out-of-sample performance than a concentrated one. This paper develops a new method to diversify portfolio weights, which does not rely on expected returns or volatilities and is therefore robust to measurement error in these variables. It uses pair-wise regressions to estimate how much variation each asset explains in terms of another asset. The optimization function finds the portfolio weights that maximize the unexplained variation of the portfolio. We benchmark our method against established methods from the literature, such as the minimum volatility and the equal risk contribution portfolios. We demonstrate that our method adheres to established diversification properties and it performs well in empirical tests.
@article{WILM:WILM1115896, title = {{A Novel way to Diversify Portfolio Weights}}, author = {Bielstein, Patrick and Jaegers, Jean-Paul and Wesson, Paul}, year = 2023, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2023, number = 128, doi = {10.54946/wilm.1115896}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.1115896}, abstract = {There is broad agreement among academics and practitioners that, in general, a diversified portfolio delivers more robust out-of-sample performance than a concentrated one. This paper develops a new method to diversify portfolio weights, which does not rely on expected returns or volatilities and is therefore robust to measurement error in these variables. It uses pair-wise regressions to estimate how much variation each asset explains in terms of another asset. The optimization function finds the portfolio weights that maximize the unexplained variation of the portfolio. We benchmark our method against established methods from the literature, such as the minimum volatility and the equal risk contribution portfolios. We demonstrate that our method adheres to established diversification properties and it performs well in empirical tests.} } - M. Radley, “Final Fling,” Wilmott, vol. 2023, iss. 128, 2023.
[Bibtex] [Abstract]Aston Martin DBS 770 Ultimate/Ferrari SF90 XX
@article{WILM:WILM1115897, title = {{Final Fling}}, author = {Radley, Milford}, year = 2023, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2023, number = 128, doi = {10.54946/wilm.1115897}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.1115897}, abstract = {Aston Martin DBS 770 Ultimate/Ferrari SF90 XX} } - J. Darasz, “The Skewed World of Jan Darasz,” Wilmott, vol. 2023, iss. 128, 2023.
[Bibtex] [Abstract]Cartoon
@article{WILM:WILM1115898, title = {{The Skewed World of Jan Darasz}}, author = {Darasz, Jan}, year = 2023, journal = {Wilmott}, publisher = {Wilmott Magazine, Ltd}, volume = 2023, number = 128, doi = {10.54946/wilm.1115898}, issn = {1541-8286}, url = {http://dx.doi.org/10.54946/wilm.1115898}, abstract = {Cartoon} }
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