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-edge researchers. Subscribe here.

In this issue:

Bibliography

  • [DOI] “Contents,” Wilmott, vol. 2018, iss. 97, p. 1–1, 2018.
    [Bibtex]
    @article {WILM:WILM10696,
    title = {Contents},
    journal = {Wilmott},
    volume = {2018},
    number = {97},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10696},
    doi = {10.1002/wilm.10696},
    pages = {1--1},
    year = {2018},
    }
  • [DOI] D. Tudball, “Call it sad, call it funny,” Wilmott, vol. 2018, iss. 97, p. 2–3, 2018.
    [Bibtex]
    @article {WILM:WILM10697,
    author = {Tudball, Dan},
    title = {Call It Sad, Call It Funny},
    journal = {Wilmott},
    volume = {2018},
    number = {97},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10697},
    doi = {10.1002/wilm.10697},
    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. 97, p. 4–9, 2018.
    [Bibtex]
    @article {WILM:WILM10698,
    title = {News},
    journal = {Wilmott},
    volume = {2018},
    number = {97},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10698},
    doi = {10.1002/wilm.10698},
    pages = {4--9},
    year = {2018},
    }
  • [DOI] “Careers,” Wilmott, vol. 2018, iss. 97, p. 10–13, 2018.
    [Bibtex]
    @article {WILM:WILM10699,
    title = {Careers},
    journal = {Wilmott},
    volume = {2018},
    number = {97},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10699},
    doi = {10.1002/wilm.10699},
    pages = {10--13},
    year = {2018},
    abstract = {Recruiters in New York and London report on current trends in salaries and bonuses.},
    }
  • [DOI] A. Brown, “I don’t care too much for lovecoin, lovecoin can’t buy you love,” Wilmott, vol. 2018, iss. 97, p. 14–15, 2018.
    [Bibtex]
    @article {WILM:WILM10700,
    author = {Brown, Aaron},
    title = {I Don't Care Too Much for LoveCoin, LoveCoin Can't Buy You Love},
    journal = {Wilmott},
    volume = {2018},
    number = {97},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10700},
    doi = {10.1002/wilm.10700},
    pages = {14--15},
    year = {2018},
    abstract = {The future of the crypto‐universe depends on how many ideas from the trustless economy will be hijacked into the traditional economy.},
    }
  • [DOI] U. Wystup, “Arbitrage in the perfect volatility surface,” Wilmott, vol. 2018, iss. 97, p. 16–17, 2018.
    [Bibtex]
    @article {WILM:WILM10701,
    author = {Wystup, Uwe},
    title = {Arbitrage in the Perfect Volatility Surface},
    journal = {Wilmott},
    volume = {2018},
    number = {97},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10701},
    doi = {10.1002/wilm.10701},
    pages = {16--17},
    year = {2018},
    abstract = {Aiming to correct some common misconceptions within the cubic spline and SVI fan clubs.},
    }
  • [DOI] S. Wilcockson, “Job was only meant to last six months… two decades later,” Wilmott, vol. 2018, iss. 97, p. 18–21, 2018.
    [Bibtex]
    @article {WILM:WILM10702,
    author = {Wilcockson, Steve},
    title = {Job Was Only Meant to Last Six Months… Two Decades Later},
    journal = {Wilmott},
    volume = {2018},
    number = {97},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10702},
    doi = {10.1002/wilm.10702},
    pages = {18--21},
    year = {2018},
    abstract = {Highlights from a rewarding yet wholly unintended career.},
    }
  • [DOI] P. Wilmott, “Early models,” Wilmott, vol. 2018, iss. 97, p. 22–29, 2018.
    [Bibtex]
    @article {WILM:WILM10703,
    author = {Orrell, David},
    author = {Wilmott, Paul},
    title = {Early Models},
    journal = {Wilmott},
    volume = {2018},
    number = {97},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10703},
    doi = {10.1002/wilm.10703},
    pages = {22--29},
    year = {2018},
    abstract = {David Orrell and Paul Wilmott delve into “Dodgy Finance, Pseudo Science, and How Mathematicians Took Over the Markets” in their recent book The Money Formula. This chapter traces the development of economics; looks at the basic assumptions such as equilibrium and rationality that have shaped both economics and finance; and considers the dual nature of quantitative finance, as exemplified by two men – John Law and Isaac Newton.},
    }
  • [DOI] B. Ziemba, “Triple crown update: 2017 and 2018,” Wilmott, vol. 2018, iss. 97, p. 30–43, 2018.
    [Bibtex]
    @article {WILM:WILM10704,
    author = {Ziemba, Bill},
    title = {Triple Crown Update: 2017 and 2018},
    journal = {Wilmott},
    volume = {2018},
    number = {97},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10704},
    doi = {10.1002/wilm.10704},
    pages = {30--43},
    year = {2018},
    abstract = {The 2017 Triple Crown and other important races.},
    }
  • [DOI] R. Poulsen, “Fundamental views,” Wilmott, vol. 2018, iss. 97, p. 44–47, 2018.
    [Bibtex]
    @article {WILM:WILM10705,
    author = {Poulsen, Rolf},
    title = {Fundamental Views},
    journal = {Wilmott},
    volume = {2018},
    number = {97},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10705},
    doi = {10.1002/wilm.10705},
    pages = {44--47},
    year = {2018},
    abstract = {This time we take a look at some consequences and caveats of a central result in quantitative finance.},
    }
  • [DOI] M. Staunton, “From south africa with love,” Wilmott, vol. 2018, iss. 97, p. 48–49, 2018.
    [Bibtex]
    @article {WILM:WILM10706,
    author = {Staunton, Mike},
    title = {From South Africa with Love},
    journal = {Wilmott},
    volume = {2018},
    number = {97},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10706},
    doi = {10.1002/wilm.10706},
    pages = {48--49},
    year = {2018},
    abstract = {Revisiting Leif Andersen's simulation of the Heston stochastic volatility model with Excel‐DNA.},
    }
  • [DOI] R. Bogni, “Finance and populist politics,” Wilmott, vol. 2018, iss. 97, p. 50–51, 2018.
    [Bibtex]
    @article {WILM:WILM10707,
    author = {Bogni, Rudi},
    title = {Finance and Populist Politics},
    journal = {Wilmott},
    volume = {2018},
    number = {97},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10707},
    doi = {10.1002/wilm.10707},
    pages = {50--51},
    year = {2018},
    abstract = {What is it that makes finance obscure and potentially antithetical to populist or dictatorial regimes – essentially a necessary evil?},
    }
  • [DOI] D. J. Duffy, “Software interoperability in computational finance, part ii: applications to derivatives pricing in quantlib, c++11, and c#,” Wilmott, vol. 2018, iss. 97, p. 52–57, 2018.
    [Bibtex]
    @article {WILM:WILM10708,
    author = {Katajamäki, Mikael},
    author = {Duffy, Daniel J.},
    title = {Software Interoperability in Computational Finance, Part II: Applications to Derivatives Pricing in QuantLib, C++11, and C#},
    journal = {Wilmott},
    volume = {2018},
    number = {97},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10708},
    doi = {10.1002/wilm.10708},
    pages = {52--57},
    year = {2018},
    abstract = {This paper is the second in a series of two on the design of software systems in computational finance. We create a multilanguage application to value an equity‐linked product. The actual pricing of this product will be performed by the QuantLib Monte Carlo framework. We use C++/CLI code as a wrapper class for native C++ code. Then, we use C# as a front end to the C++/CLI wrapper, after having constructed transaction‐related parameters and market data. For flexible input data construction, a specific factory mechanism will be implemented using Assembly, Reflection API, and dynamic data types. Finally, we interface C++ code to Excel. The source code for the application in this paper can be requested by contacting the authors. Since this paper discusses how we implemented the application, we fell that compiling and running the corresponding code will be an aid in understanding the design rationale.},
    }
  • [DOI] S. Ahlawat, “Evaluation of mortgage default characteristics using fannie mae’s loan performance data,” Wilmott, vol. 2018, iss. 97, p. 58–69, 2018.
    [Bibtex]
    @article {WILM:WILM10709,
    author = {Ahlawat, Samit},
    title = {Evaluation of Mortgage Default Characteristics Using Fannie Mae's Loan Performance Data},
    journal = {Wilmott},
    volume = {2018},
    number = {97},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10709},
    doi = {10.1002/wilm.10709},
    pages = {58--69},
    year = {2018},
    abstract = {Mortgage default has been characterized as ruthless – or predominantly driven by the relation of house price to mortgage values – by proponents of the pure option-theoretic costs and other idiosyncratic factors determine when mortgage holders default. This work uses Fannie Mae loan performance data to present evidence supporting the hypothesis that a significant number of mortgage degaults are non-ruthless. It uses a new approach to track mortgages that are likely to default by tracking 90-day delinquent mortgages and studying which ones eventually default. It evaluates the joint put-call option embedded in a mortgage contract using a Monte Carlo simulation for the underlying stochastic variables. It identifies key differences between ruthless and non-ruthless mortgage defaulters to become current on thei 9d-0ay delinquent mortgages. These observations provide valuable insights for policymakers and creditors in their task of structuring debt-relief programs for delinquent mortgage holders. It augments the analysis of mortgage defaults by considering the impact of loan-to-value ratio at mortgage origination.},
    }
  • [DOI] N. El Hadj Braiek, “Evaluation of mortgage default characteristics using,” Wilmott, vol. 2018, iss. 97, p. 70–81, 2018.
    [Bibtex]
    @article {WILM:WILM10710,
    author = {El Hadj Braiek, Noureddine},
    title = {Evaluation of Mortgage Default Characteristics Using},
    journal = {Wilmott},
    volume = {2018},
    number = {97},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10710},
    doi = {10.1002/wilm.10710},
    pages = {70--81},
    year = {2018},
    abstract = {We consider the derivatives pricing problem in credit risk. By assessing a market price to the hedged risks and a Capital Asset Pricing Model price to the unhedged part, we derive a generalized pricing formula that nests both the classic Capital Markets and Corporate Finance models. An efficient mathematical formulation based on the semi-martingale processes has been found emphasizing the overlap between the classic FVA-KVA formulation and the risk premium generated by the unhedged risks.},
    }
  • [DOI] M. Radley, “Cars,” Wilmott, vol. 2018, iss. 97, p. 82–83, 2018.
    [Bibtex]
    @article {WILM:WILM10711,
    author = {Radley, Milford},
    title = {Cars},
    journal = {Wilmott},
    volume = {2018},
    number = {97},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10711},
    doi = {10.1002/wilm.10711},
    pages = {82--83},
    year = {2018},
    abstract = {While Jaguar's XE might be the company's entry point to luxury sedan ownership, the spiced-up SV Project 8 version is anything but. With only 300 available worldwide, this bespoke Jag throws its claws at Porsche's mighty 911 GT3.},
    }
  • [DOI] J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2018, iss. 97, p. 84–84, 2018.
    [Bibtex]
    @article {WILM:WILM10712,
    author = {Darasz, Jan},
    title = {The skewed world of Jan Darasz},
    journal = {Wilmott},
    volume = {2018},
    number = {97},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10712},
    doi = {10.1002/wilm.10712},
    pages = {84--84},
    year = {2018},
    }

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