Wilmott Magazine: September 2020 issue

Volume 2020, Issue 109. Pages 1–72

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. 2020, iss. 109, p. 1–1, 2020.
    [Bibtex]
    @article {WILM:WILM10863,
    title = {Contents},
    journal = {Wilmott},
    volume = {2020},
    number = {109},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10863},
    doi = {10.1002/wilm.10863},
    pages = {1--1},
    year = {2020},
    }
  • [DOI] D. Tudball, “Time after tim,” Wilmott, vol. 2020, iss. 109, p. 2–3, 2020.
    [Bibtex]
    @article {WILM:WILM10864,
    author = {Tudball, Dan},
    title = {Time After Tim},
    journal = {Wilmott},
    volume = {2020},
    number = {109},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10864},
    doi = {10.1002/wilm.10864},
    pages = {2--3},
    year = {2020},
    abstract = {The market for short‐duration loans has note taken advantage of the revolutionary developments in precision time‐keeping technology.},
    }
  • [DOI] “News,” Wilmott, vol. 2020, iss. 109, p. 4–8, 2020.
    [Bibtex]
    @article {WILM:WILM10865,
    title = {News},
    journal = {Wilmott},
    volume = {2020},
    number = {109},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10865},
    doi = {10.1002/wilm.10865},
    pages = {4--8},
    year = {2020},
    }
  • [DOI] G. Herrera and M. Brenneis, “Sustainable investing: encouraging evidence for investors,” Wilmott, vol. 2020, iss. 109, p. 9–11, 2020.
    [Bibtex]
    @article {WILM:WILM10866,
    author = {Herrera, Gabriel and Brenneis, Michael},
    title = {Sustainable investing: Encouraging Evidence for Investors},
    journal = {Wilmott},
    volume = {2020},
    number = {109},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10866},
    doi = {10.1002/wilm.10866},
    pages = {9--11},
    year = {2020},
    abstract = {Is sustainable investing a positive or negative contributor to outperformance? And how patient do investors need to be to capitalize on any positive effects? Our research results answer these questions, and our conclusions on the required time horizon may come as a surprise for investors hesitating to introduce sustainable investing, write Gabriel Herrera and Michael Brenneis.},
    }
  • [DOI] A. Spinner, “Model or prophecy?,” Wilmott, vol. 2020, iss. 109, p. 12–15, 2020.
    [Bibtex]
    @article {WILM:WILM10867,
    author = {Spinner, Albin},
    title = {Model or Prophecy?},
    journal = {Wilmott},
    volume = {2020},
    number = {109},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10867},
    doi = {10.1002/wilm.10867},
    pages = {12--15},
    year = {2020},
    abstract = {There are strong functional similarities between a Sri Lankan shaman performing an exorcist “demon” dance with a view to expel the source of chaos (illustrated in the exhibition) and a bunch of traders running an Excel spreadsheet attempting to understand how the risk of their exotic options portfolio has changed post‐lockdown announcement.},
    }
  • [DOI] A. Brown, “Did the financial crisis kill fama‐french?,” Wilmott, vol. 2020, iss. 109, p. 16–18, 2020.
    [Bibtex]
    @article {WILM:WILM10868,
    author = {Brown, Aaron},
    title = {Did the Financial Crisis Kill Fama‐French?},
    journal = {Wilmott},
    volume = {2020},
    number = {109},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10868},
    doi = {10.1002/wilm.10868},
    pages = {16--18},
    year = {2020},
    abstract = {The factor era, which began in 1992, may have delivered its swansong over a decade ago.)},
    }
  • [DOI] U. Wystup, “Derivatives risk management and aviation,” Wilmott, vol. 2020, iss. 109, p. 19–21, 2020.
    [Bibtex]
    @article {WILM:WILM10869,
    author = {Wystup, Uwe},
    title = {Derivatives Risk Management and Aviation},
    journal = {Wilmott},
    volume = {2020},
    number = {109},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10869},
    doi = {10.1002/wilm.10869},
    pages = {19--21},
    year = {2020},
    abstract = {Taking a tip from aviation risk management can prevent us from being penny wise, pound foolish.},
    }
  • [DOI] B. Ziemba, “The covid‐10 crash in the us stock market,” Wilmott, vol. 2020, iss. 109, p. 22–31, 2020.
    [Bibtex]
    @article {WILM:WILM10870,
    author = {Ziemba, Bill},
    title = {The Covid‐10 Crash in the US Stock Market},
    journal = {Wilmott},
    volume = {2020},
    number = {109},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10870},
    doi = {10.1002/wilm.10870},
    pages = {22--31},
    year = {2020},
    abstract = {An examination of the market dynamics exhibited in the context of the Covid‐19 crisis so far.},
    }
  • [DOI] E. G. Haug, “Space‐time money,” Wilmott, vol. 2020, iss. 109, p. 32–37, 2020.
    [Bibtex]
    @article {WILM:WILM10871,
    author = {Haug, Espen Gaarder},
    title = {Space‐Time Money},
    journal = {Wilmott},
    volume = {2020},
    number = {109},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10871},
    doi = {10.1002/wilm.10871},
    pages = {32--37},
    year = {2020},
    abstract = {Existing technology could revolutionize our view on money.},
    }
  • [DOI] R. Poulsen, “Things i learned this semester, part deux,” Wilmott, vol. 2020, iss. 109, p. 38–41, 2020.
    [Bibtex]
    @article {WILM:WILM10872,
    author = {Poulsen, Rolf},
    title = {Things I Learned This Semester, Part Deux},
    journal = {Wilmott},
    volume = {2020},
    number = {109},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10872},
    doi = {10.1002/wilm.10872},
    pages = {38--41},
    year = {2020},
    abstract = {A chronological report from the university teaching trenches during COVID‐19.},
    }
  • [DOI] R. Bogni, “The panacea of science and technology,” Wilmott, vol. 2020, iss. 109, p. 42–43, 2020.
    [Bibtex]
    @article {WILM:WILM10873,
    author = {Bogni, Rudi},
    title = {The Panacea of Science and Technology},
    journal = {Wilmott},
    volume = {2020},
    number = {109},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10873},
    doi = {10.1002/wilm.10873},
    pages = {42--43},
    year = {2020},
    abstract = {On senseless hyping of science and technology by politicians who would not be able to recognize a PDE or a Poisson distribution if their life depended on it.},
    }
  • [DOI] D. Gatarek and J. Jabłecki, “Swap rate à la stock: bermudan swaptions made easy,” Wilmott, vol. 2020, iss. 109, p. 44–51, 2020.
    [Bibtex]
    @article {WILM:WILM10874,
    author = {Gatarek, Dariusz and Jabłecki, Juliusz},
    title = {Swap Rate à la Stock: Bermudan Swaptions Made Easy},
    journal = {Wilmott},
    volume = {2020},
    number = {109},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10874},
    doi = {10.1002/wilm.10874},
    pages = {44--51},
    keywords = {local volatility, Cheyette model, Bermudan options},
    year = {2020},
    abstract = {We show how Markovian projection, together with some clever parameter freezing, can be used to reduce a full‐fledged local volatility interest rate model – such as the Cheyette model – to a “minimal” form in which the swap rate evolved essentially like a dividend‐paying stock. Using a number or numerical examples, we compare such a minimal “poor man's” model to a full‐fledged Cheyette local volatility model and the market benchmark Hall–White one‐factor model. Numerical tests demonstrate that the “poor man's” model is in fact sufficient to price Bermudian interest rate swaptions. The main practical implication of this finding is that – once local volatility, dividend, and short rate parameters are properly stripped from the volatility surface and interest rate curve – one can readily use the widely popular equity derivatives software for pricing exotic interest rate options such as Bermudans.},
    }
  • [DOI] P. G. LeFloch and J. Mercier, “The transport‐based mesh‐free method: a short review,” Wilmott, vol. 2020, iss. 109, p. 52–57, 2020.
    [Bibtex]
    @article {WILM:WILM10875,
    author = {LeFloch, Philippe G. and Mercier, Jean‐Marc},
    title = {The Transport‐based Mesh‐free Method: A Short Review},
    journal = {Wilmott},
    volume = {2020},
    number = {109},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10875},
    doi = {10.1002/wilm.10875},
    pages = {52--57},
    keywords = {discrepancy error, extrapolation, Hilbert space, machine learning, reproducing kernel},
    year = {2020},
    abstract = {We introduce a new numerical strategy which we refer to as the Transport‐based Mesh‐free Method (TMM) and discuss its applications to mathematical finance. The proposed method enjoys good accuracy properties similar to those obtained with integration formulas based on the Monte‐Carlo methodology, and in particular enjoys quantitative error bounds which have important implications in applications. In this short review, we outline the main ideas behind this new strategy which relies on techniques of transportation and reproducing kernels. It leads us to an efficient method for numerical simulations while providing some light on the techniques currently developed by the artificial intelligence community. In the applications in the finance industry, our approach provides us with an accurate and fast algorithm, allowing us to compute various types of risk measures. Theoretical arguments are also put forward in order to justify the sharp convergence rates and almost optimal computational times that we observe in our numerical tests and, in addition, typical cases arising in finance applications support our claims. The problem of the curse of dimensionality in finance is briefly discussed.},
    }
  • [DOI] D. Morgan and S. Kucherenko, “Comparing option pricing methods in q,” Wilmott, vol. 2020, iss. 109, p. 58–69, 2020.
    [Bibtex]
    @article {WILM:WILM10876,
    author = {Morgan, Deanna and Kucherenko, Sergei},
    title = {Comparing Option Pricing Methods in q},
    journal = {Wilmott},
    volume = {2020},
    number = {109},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10876},
    doi = {10.1002/wilm.10876},
    pages = {58--69},
    keywords = {option pricing, Asian options, kdb+, Kx, Quasi‐Monte Carlo, Sobol’ sequences},
    year = {2020},
    abstract = {We use kdb+ and the q language to compare the use of Monte Carlo (MC) and Quasi‐Monte Carlo (QMC) methods for pricing options. Low‐discrepancy Sobol’ sequences are used to price European and Asian options, using both incremental discretization and Brownian‐bridge construction. Results are compared to the deterministic Black–Scholes price for each option type. Analysis was carried out using the time‐series database, kdb+, from Kx. Kdb+ is a hybrid on‐disk and in‐memory columnar database, optimized for the ingestion, storage, and analysis of huge amounts of structured data. Kx software is widely used in the financial industry, for streaming, real‐time, and historical analysis of market data. Our code makes use of the efficient and concise nature of the q language, to mirror the results of Kucherenko and Shah [1].},
    }
  • [DOI] M. Radley, “Cars,” Wilmott, vol. 2020, iss. 109, p. 70–71, 2020.
    [Bibtex]
    @article {WILM:WILM10877,
    author = {Radley, Milford},
    title = {Cars},
    journal = {Wilmott},
    volume = {2020},
    number = {109},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10877},
    doi = {10.1002/wilm.10877},
    pages = {70--71},
    year = {2020},
    abstract = {One of the world's longest‐running 4x4s retains its classic name, but that's about all, as it readies itself for 21st century challenges.},
    }
  • [DOI] J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2020, iss. 109, p. 72–72, 2020.
    [Bibtex]
    @article {WILM:WILM10878,
    author = {Darasz, Jan},
    title = {The skewed world of Jan Darasz},
    journal = {Wilmott},
    volume = {2020},
    number = {109},
    publisher = {John Wiley & Sons, Ltd},
    issn = {1541-8286},
    url = {http://dx.doi.org/10.1002/wilm.10878},
    doi = {10.1002/wilm.10878},
    pages = {72--72},
    year = {2020},
    }

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

UA-42805348-1