Wilmott Magazine: September 2019 issue

Volume 2019, Issue 103. Pages 1–60

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In this issue:

Bibliography

  • [DOI] “Contents,” Wilmott, vol. 2019, iss. 103, p. 1–1, 2019.
    [Bibtex]
    @article {WILM:WILM10781,
    title = {Contents},
    journal = {Wilmott},
    volume = {2019},
    number = {103},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10781},
    doi = {10.1002/wilm.10781},
    pages = {1--1},
    year = {2019},
    }
  • [DOI] D. Tudball, “That old black magic,” Wilmott, vol. 2019, iss. 103, p. 2–3, 2019.
    [Bibtex]
    @article {WILM:WILM10782,
    author = {Tudball, Dan},
    title = {That Old Black Magic},
    journal = {Wilmott},
    volume = {2019},
    number = {103},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10782},
    doi = {10.1002/wilm.10782},
    pages = {2--3},
    year = {2019},
    abstract = {Unexpected emptiness rudely manifested just when you thought you had it all worked out.},
    }
  • [DOI] “News,” Wilmott, vol. 2019, iss. 103, p. 4–5, 2019.
    [Bibtex]
    @article {WILM:WILM10783,
    title = {News},
    journal = {Wilmott},
    volume = {2019},
    number = {103},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10783},
    doi = {10.1002/wilm.10783},
    pages = {4--5},
    year = {2019},
    }
  • [DOI] C. Willing, “In code we trust,” Wilmott, vol. 2019, iss. 103, p. 6–7, 2019.
    [Bibtex]
    @article {WILM:WILM10784,
    author = {Willing, Code},
    title = {In Code We Trust},
    journal = {Wilmott},
    volume = {2019},
    number = {103},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10784},
    doi = {10.1002/wilm.10784},
    pages = {6--7},
    year = {2019},
    abstract = {Financial institutions of all sizes recognize that it is expensive to meet the staffing and infrastructure levels required to efficiently manage data internally},
    }
  • [DOI] M. Logic, “Aad: breaking the primal barrier,” Wilmott, vol. 2019, iss. 103, p. 8–11, 2019.
    [Bibtex]
    @article {WILM:WILM10785,
    author = {Logic, Math},
    title = {AAD: Breaking the Primal Barrier},
    journal = {Wilmott},
    volume = {2019},
    number = {103},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10785},
    doi = {10.1002/wilm.10785},
    pages = {8--11},
    year = {2019},
    abstract = {Dmitri Goloubentsev and Evgeny Lakshtanov present a new, speedier approach for AAD.)},
    }
  • [DOI] A. Brown, “Bitcoin boom bust,” Wilmott, vol. 2019, iss. 103, p. 12–15, 2019.
    [Bibtex]
    @article {WILM:WILM10786,
    author = {Brown, Aaron},
    title = {Bitcoin Boom Bust},
    journal = {Wilmott},
    volume = {2019},
    number = {103},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10786},
    doi = {10.1002/wilm.10786},
    pages = {12--15},
    year = {2019},
    abstract = {Let's be rational here, people…},
    }
  • [DOI] U. Wystup, “Reverse knockout pricing case study: stochastic local volatility versus vanna‐volga,” Wilmott, vol. 2019, iss. 103, p. 16–17, 2019.
    [Bibtex]
    @article {WILM:WILM10787,
    author = {Wystup, Uwe},
    title = {Reverse Knockout Pricing Case Study: Stochastic Local Volatility versus Vanna‐Volga},
    journal = {Wilmott},
    volume = {2019},
    number = {103},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10787},
    doi = {10.1002/wilm.10787},
    pages = {16--17},
    year = {2019},
    abstract = {Two heavyweight vol models punch it out.},
    }
  • [DOI] R. Poulsen, “Things i learned this semester,” Wilmott, vol. 2019, iss. 103, p. 18–19, 2019.
    [Bibtex]
    @article {WILM:WILM10788,
    author = {Poulsen, Rolf},
    title = {Things I Learned This Semester},
    journal = {Wilmott},
    volume = {2019},
    number = {103},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10788},
    doi = {10.1002/wilm.10788},
    pages = {18--19},
    year = {2019},
    abstract = {School's out, what flashbacks does the summer hold?},
    }
  • [DOI] C. Doloc, “The journey from data to intelligence,” Wilmott, vol. 2019, iss. 103, p. 20–23, 2019.
    [Bibtex]
    @article {WILM:WILM10789,
    author = {Doloc, Cris},
    title = {The Journey from Data to Intelligence},
    journal = {Wilmott},
    volume = {2019},
    number = {103},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10789},
    doi = {10.1002/wilm.10789},
    pages = {20--23},
    year = {2019},
    abstract = {Examining the promises and challenges that the new era of data‐driven decision making brings to the financial industry.},
    }
  • [DOI] P. Wilmott, “Smell the glove,” Wilmott, vol. 2019, iss. 103, p. 24–33, 2019.
    [Bibtex]
    @article {WILM:WILM10790,
    author = {Wilmott, Paul},
    title = {Smell the Glove},
    journal = {Wilmott},
    volume = {2019},
    number = {103},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10790},
    doi = {10.1002/wilm.10790},
    pages = {24--33},
    year = {2019},
    abstract = {In which Quantitative Finance introduces Paul Wilmott to Machine Learning…and why not?},
    }
  • [DOI] L. MacLean and B. Ziemba, “National football league 2018 season,” Wilmott, vol. 2019, iss. 103, p. 34–39, 2019.
    [Bibtex]
    @article {WILM:WILM10791,
    author = {MacLean, Leonard and Ziemba, Bill},
    title = {National Football League 2018 Season},
    journal = {Wilmott},
    volume = {2019},
    number = {103},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10791},
    doi = {10.1002/wilm.10791},
    pages = {34--39},
    year = {2019},
    abstract = {Belichick used superior coaching to help New England win the Super Bowl again.},
    }
  • [DOI] P. S. Hagan, A. S. Lesniewski, G. E. Skoufis, and D. E. Woodward, “Explicit pricing of quadratic derivatives under sabr,” Wilmott, vol. 2019, iss. 103, p. 40–52, 2019.
    [Bibtex]
    @article {WILM:WILM10792,
    author = {Hagan, Patrick S. and Lesniewski, Andrew S. and Skoufis, G. E. and Woodward, Diana E.},
    title = {Explicit Pricing of Quadratic Derivatives Under SABR},
    journal = {Wilmott},
    volume = {2019},
    number = {103},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10792},
    doi = {10.1002/wilm.10792},
    pages = {40--52},
    keywords = {CMS, quadratic, convexity, SABR, replication, explicit solutions},
    year = {2019},
    abstract = {Many deal types, such as constant maturity swaps, caps, and floors, contain convexity corrections. Valuing these convexity corrections eventually boils down to evaluating quadratic swaps or options.The values of quadratic swaps and options are known exactly under normal and lognormal volatility models. However, flat normal and lognormal models are inappropriate, since derivatives with quadratic payoffs depend more heavily on market skews and smiles than ordinary vanilla options. So here we analyze quadratic swaps and options under the SABR model, and obtain explicit closed‐form formulas for the value of quadratic swaps, calls, and puts.These formulas are not exact, but they are accurate through O(ε2), the same accuracy as the original closed‐form SABR formulas, and they satisfy put‐call parity exactly.},
    }
  • [DOI] A. Rej, P. Seager, and J. Bouchaud, “How should you discount your backtest pnl?,” Wilmott, vol. 2019, iss. 103, p. 53–57, 2019.
    [Bibtex]
    @article {WILM:WILM10793,
    author = {Rej, Adam and Seager, Philip and Bouchaud, Jean‐Philippe},
    title = {How Should You Discount Your Backtest PnL?},
    journal = {Wilmott},
    volume = {2019},
    number = {103},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10793},
    doi = {10.1002/wilm.10793},
    pages = {53--57},
    keywords = {overfitting, in‐sample bias, portfolio management},
    year = {2019},
    abstract = {In‐sample overfitting is a drawback of any backtest‐based investment strategy. It is thus of paramount importance to have an understanding of why and how the in‐sample overfitting occurs. In this article we propose a simple framework that allows one to model and quantify in‐sample PnL overfitting. This allows us to compute the factor appropriate for discounting PnLs of in‐sample investment strategies.},
    }
  • [DOI] M. Radley, “Cars,” Wilmott, vol. 2019, iss. 103, p. 58–59, 2019.
    [Bibtex]
    @article {WILM:WILM10794,
    author = {Radley, Milford},
    title = {Cars},
    journal = {Wilmott},
    volume = {2019},
    number = {103},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10794},
    doi = {10.1002/wilm.10794},
    pages = {58--59},
    year = {2019},
    abstract = {McLaren chops the roof off its 720S Super Series supercar to produce a Spider version in its everburgeoning catalog of exotica.},
    }
  • [DOI] J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2019, iss. 103, p. 60–60, 2019.
    [Bibtex]
    @article {WILM:WILM10795,
    author = {Darasz, Jan},
    title = {The skewed world of Jan Darasz},
    journal = {Wilmott},
    volume = {2019},
    number = {103},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10795},
    doi = {10.1002/wilm.10795},
    pages = {60--60},
    year = {2019},
    }

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