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Itâs just bizarre that amazingly clever disciplined diligent people constantly have so much #luck @MagnusCarlsen #chess #fantasyfootball â Charles Crawfordâ¦
View ArticleWilliam T. Ziemba's Contributions to Portfolio Theory and Practice
Half a century flies by when Bill applies himself to Markowitz's gift that keeps on givingâ¦
View ArticleComputation Graphs for AAD and Machine Learning Part II: Adjoint...
Second in a series of three articles with code, exploring the notion of computation graph, with words, mathematics and code, and application in Machine Learning and finance to compute a vast number of...
View ArticleBridging the Orthodox/Behaviorist Divide
Capital markets are neither knowledge machines nor ships of fools. They are social learners, according to Kent Osband, continually correcting and refining their flawed predictions. Predictions are...
View ArticleElasticity of Variance of Variance
An empirical twoâhorse race between the Heston and SABR for the period around the 2008 financial crisis.
View ArticleThe Many�Worlds Interpretation of Risk Neutrality
There are many riskâneutral worlds, with different probabilities that support the same market prices. This matters in understanding how the originators of the BlackâScholes model each thought...
View ArticleThe Swiss Army Knife of Options Analytics
Finally, a solution to the most vexing problems of options pricing and fitting.
View ArticleEverything Is Rosy Now
âCapital markets are great shortâterm error correctors and poor longâterm predictors,â writes Kent. He calls the combination ârational myopia.â
View ArticleThe skewed world of Jan Darasz
Wilmott, Volume 2020, Issue 105, Page 72-72, January 2020.
View ArticleCars
Porsche arrives with its first allâelectric car for those who can't take Tesla seriously enough.
View ArticleConvexity Without Replication
We revise the standard analysis of constant maturity swaps, caps, and floors to account for dual forecast and discount curves. This reduces the pricing of these deals to evaluation of quadratic...
View ArticleNecessary and Sufficient Conditions for Existence and Uniqueness of Recursive...
ABSTRACT We obtain exact necessary and sufficient conditions for existence and uniqueness of solutions of a class of homothetic recursive utility models postulated by Epstein and Zin (1989). The...
View ArticleWhat Drives Anomaly Returns?
ABSTRACT We decompose the returns of five wellâknown anomalies into cash flow and discount rate news. Common patterns emerge across the five factor portfolios and their meanâvariance efficient...
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The gig economy is taking a toll on UK workers’ mental health
The potential psychological effects of atypical and precarious employment arrangements are attracting increasing attention among academic and policy researchers. The UK economy is approaching âfull...
View ArticleMarkov risk mappings and risk-averse optimal stopping under ambiguity....
We aim to analyse a Markovian discrete-time optimal stopping problem for a risk-averse decision maker under model ambiguity. In contrast to the analytic approach based on transition risk mappings, a...
View ArticleA tail dependence-based MST and their topological indicators in modelling...
In the present work we analyze the dynamics of indirect connections between insurance companies that result from market price channels. In our analysis we assume that the stock quotations of insurance...
View ArticleWho voted for a No Deal Brexit? A Composition Model of Great Britains 2019...
The purpose of this paper is to use the votes cast at the 2019 European elections held in United Kingdom to re-visit the analysis conducted subsequent to its 2016 European Union referendum vote. This...
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