Volume 2021, Issue 115. Pages 1-72
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In this issue:
- “Contents,” Wilmott, vol. 2021, iss. 115, p. 1–1, 2021.
[Bibtex]@article {WILM:WILM10947, title = {Contents}, journal = {Wilmott}, volume = {2021}, number = {115}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10947}, doi = {10.1002/wilm.10947}, pages = {1--1}, year = {2021}, } - D. Tudball, “One crack at paradise, next to none,” Wilmott, vol. 2021, iss. 115, p. 2–3, 2021.
[Bibtex] [Abstract]This year marks the 30th anniversary of the publication on the seminal short‐rate model of Black and Karasinski (1991). Colin Turfus looks back over the early career of its co‐originator Piotr Karasinski and records his story of how the model came to be developed, going on to review the impact it had subsequently, and reasons behind the revival of interest which has been evident in recent years.
@article {WILM:WILM10948, author = {Tudball, Dan}, title = {One Crack at Paradise, Next to None}, journal = {Wilmott}, volume = {2021}, number = {115}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10948}, doi = {10.1002/wilm.10948}, pages = {2--3}, year = {2021}, abstract = {This year marks the 30th anniversary of the publication on the seminal short‐rate model of Black and Karasinski (1991). Colin Turfus looks back over the early career of its co‐originator Piotr Karasinski and records his story of how the model came to be developed, going on to review the impact it had subsequently, and reasons behind the revival of interest which has been evident in recent years.}, } - “News,” Wilmott, vol. 2021, iss. 115, p. 4–7, 2021.
[Bibtex]@article {WILM:WILM10949, title = {News}, journal = {Wilmott}, volume = {2021}, number = {115}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10949}, doi = {10.1002/wilm.10949}, pages = {4--7}, year = {2021}, } - Riskfuel, “Eureka!,” Wilmott, vol. 2021, iss. 115, p. 8–11, 2021.
[Bibtex] [Abstract]Not the one in California, the one that Ryan Ferguson yelled out when he had the idea for the AI foundations of Riskfuel. Dan Tudball pans for gold with Ferguson.
@article {WILM:WILM10950, author = {Riskfuel}, title = {Eureka!}, journal = {Wilmott}, volume = {2021}, number = {115}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10950}, doi = {10.1002/wilm.10950}, pages = {8--11}, year = {2021}, abstract = {Not the one in California, the one that Ryan Ferguson yelled out when he had the idea for the AI foundations of Riskfuel. Dan Tudball pans for gold with Ferguson.}, } - A. Brown, “Eviction moratoria,” Wilmott, vol. 2021, iss. 115, p. 12–17, 2021.
[Bibtex] [Abstract]Although economic theory predicts that eviction moratoria will lead to higher COVID infection and death rates, the world is complicated and doesn’t always obey Economics 101 logic.
@article {WILM:WILM10951, author = {Brown, Aaron}, title = {Eviction Moratoria}, journal = {Wilmott}, volume = {2021}, number = {115}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10951}, doi = {10.1002/wilm.10951}, pages = {12--17}, year = {2021}, abstract = {Although economic theory predicts that eviction moratoria will lead to higher COVID infection and death rates, the world is complicated and doesn't always obey Economics 101 logic.}, } - U. Wystup, “Before takeoff ‐ model validation checklist,” Wilmott, vol. 2021, iss. 115, p. 18–21, 2021.
[Bibtex] [Abstract]FX derivatives models built by the best financial engineers still need to be checked by model validation before they can fly.
@article {WILM:WILM10952, author = {Wystup, Uwe}, title = {Before Takeoff ‐ Model Validation Checklist}, journal = {Wilmott}, volume = {2021}, number = {115}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10952}, doi = {10.1002/wilm.10952}, pages = {18--21}, year = {2021}, abstract = {FX derivatives models built by the best financial engineers still need to be checked by model validation before they can fly.}, } - R. Poulsen, “Things i learned this semester, part trois,” Wilmott, vol. 2021, iss. 115, p. 22–25, 2021.
[Bibtex] [Abstract]Square roots, LaTeX in Word, and pardon my French…
@article {WILM:WILM10953, author = {Poulsen, Rolf}, title = {Things I Learned This Semester, Part Trois}, journal = {Wilmott}, volume = {2021}, number = {115}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10953}, doi = {10.1002/wilm.10953}, pages = {22--25}, year = {2021}, abstract = {Square roots, LaTeX in Word, and pardon my French…}, } - C. Turfus, “The black‐karasinski model: thirty years on,” Wilmott, vol. 2021, iss. 115, p. 26–33, 2021.
[Bibtex] [Abstract]This year marks the 30th anniversary of the publication on the seminal short‐rate model of Black and Karasinski (1991). Colin Turfus looks back over the early career of its co‐originator Piotr Karasinski and records his story of how the model came to be developed, going on to review the impact it had subsequently, and reasons behind the revival of interest which has been evident in recent years.
@article {WILM:WILM10954, author = {Turfus, Colin}, title = {The Black‐Karasinski Model: Thirty Years On}, journal = {Wilmott}, volume = {2021}, number = {115}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10954}, doi = {10.1002/wilm.10954}, pages = {26--33}, year = {2021}, abstract = {This year marks the 30th anniversary of the publication on the seminal short‐rate model of Black and Karasinski (1991). Colin Turfus looks back over the early career of its co‐originator Piotr Karasinski and records his story of how the model came to be developed, going on to review the impact it had subsequently, and reasons behind the revival of interest which has been evident in recent years.}, } - E. Ayache, “God's model vs. market models,” Wilmott, vol. 2021, iss. 115, p. 34–47, 2021.
[Bibtex] [Abstract]A thorough reading of Bergomi sheds new perspectives on rough volatility in relation to the meaning of the options market.
@article {WILM:WILM10955, author = {Ayache, Elie}, title = {God's Model vs. Market Models}, journal = {Wilmott}, volume = {2021}, number = {115}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10955}, doi = {10.1002/wilm.10955}, pages = {34--47}, year = {2021}, abstract = {A thorough reading of Bergomi sheds new perspectives on rough volatility in relation to the meaning of the options market.}, } - L. MacLean and B. Ziemba, “Winning hockey — team and player impact in the nhl,” Wilmott, vol. 2021, iss. 115, p. 48–57, 2021.
[Bibtex] [Abstract]The game box score and the problem of identifying box score statistics for teams and players which materially affect outcome is investigated.
@article {WILM:WILM10956, author = {MacLean, Leonard and Ziemba, Bill}, title = {Winning Hockey — Team and Player Impact in the NHL}, journal = {Wilmott}, volume = {2021}, number = {115}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10956}, doi = {10.1002/wilm.10956}, pages = {48--57}, year = {2021}, abstract = {The game box score and the problem of identifying box score statistics for teams and players which materially affect outcome is investigated.}, } - C. Turfus, “Analytic correlation risk for cds,” Wilmott, vol. 2021, iss. 115, p. 58–63, 2021.
[Bibtex] [Abstract]We consider a rates credit hybrid model with the rates and the credit intensity governed by Hull‐White and Black‐Karasinski short‐rate models, respectively. We report on and make use of a highly accurate analytic representation of a pricing kernel for European‐style options and/or protection payments in powers of the credit spread (not of its lognormal volatility). We show how this can be applied to calculate analytically the impact of rates credit correlation on the pricing of credit default swaps (CDS), extinguishing interest rate swaps, and survival‐contingent capped LIBOR flows. Very simple expressions are obtained in all cases for present values (PVs). Highly favorable comparison is found between even the first‐order approximations and Monte Carol simulation.
@article {WILM:WILM10957, author = {Turfus, Colin}, title = {Analytic Correlation Risk for CDS}, journal = {Wilmott}, volume = {2021}, number = {115}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10957}, doi = {10.1002/wilm.10957}, pages = {58--63}, keywords = {pricing kernel, credit derivatives, analytic solution, asymptotic expansion, perturbation analysis, Hull‐White, Black‐Karasinski, short‐rate model, hybrid model, credit default swap, extinguishing rate swap}, year = {2021}, abstract = {We consider a rates credit hybrid model with the rates and the credit intensity governed by Hull‐White and Black‐Karasinski short‐rate models, respectively. We report on and make use of a highly accurate analytic representation of a pricing kernel for European‐style options and/or protection payments in powers of the credit spread (not of its lognormal volatility). We show how this can be applied to calculate analytically the impact of rates credit correlation on the pricing of credit default swaps (CDS), extinguishing interest rate swaps, and survival‐contingent capped LIBOR flows. Very simple expressions are obtained in all cases for present values (PVs). Highly favorable comparison is found between even the first‐order approximations and Monte Carol simulation.}, } - S. Schulist, “Fat‐tailed kelly,” Wilmott, vol. 2021, iss. 115, p. 64–69, 2021.
[Bibtex] [Abstract]Asset returns have fat tails. Traditional mean‐variance analysis, however, assumes that asset returns are normally distributed, with thin tails. A natural extension of the normal distribution is the α‐stable distribution, which has fat tails, skewness—and infinite variance, which makes mean‐variance optimization impossible. In this white paper, I review the data, examine the investment implications, and do the math of fat tailed, α‐stably distributed asset returns.
@article {WILM:WILM10958, author = {Schulist, Stephen}, title = {Fat‐Tailed Kelly}, journal = {Wilmott}, volume = {2021}, number = {115}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10958}, doi = {10.1002/wilm.10958}, pages = {64--69}, keywords = {Kelly criterion, fat tails, α‐stable distribution}, year = {2021}, abstract = {Asset returns have fat tails. Traditional mean‐variance analysis, however, assumes that asset returns are normally distributed, with thin tails. A natural extension of the normal distribution is the α‐stable distribution, which has fat tails, skewness—and infinite variance, which makes mean‐variance optimization impossible. In this white paper, I review the data, examine the investment implications, and do the math of fat tailed, α‐stably distributed asset returns.}, } - M. Radley, “Cars,” Wilmott, vol. 2021, iss. 115, p. 70–71, 2021.
[Bibtex] [Abstract]Alfa builds its most brawny sports sedan ever, as homage to one of its most beloved icons. Only 500 will be produced, making this an even bigger head‐turner.
@article {WILM:WILM10959, author = {Radley, Milford}, title = {Cars}, journal = {Wilmott}, volume = {2021}, number = {115}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10959}, doi = {10.1002/wilm.10959}, pages = {70--71}, year = {2021}, abstract = {Alfa builds its most brawny sports sedan ever, as homage to one of its most beloved icons. Only 500 will be produced, making this an even bigger head‐turner.}, } - J. Darasz, “The skewed world of jan darasz,” Wilmott, vol. 2021, iss. 115, p. 72–72, 2021.
[Bibtex]@article {WILM:WILM10960, author = {Darasz, Jan}, title = {The skewed world of Jan Darasz}, journal = {Wilmott}, volume = {2021}, number = {115}, publisher = {John Wiley & Sons, Ltd}, issn = {1541-8286}, url = {http://dx.doi.org/10.1002/wilm.10960}, doi = {10.1002/wilm.10960}, pages = {72--72}, year = {2021}, }
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