Tag Archives: Wilmott

WIlmott will present controversy but he seems not to care

WIlmott will present controversy but he seems not to care

From a student of his but here are the highlights:

95% of you will hate my talk because I shall inevitably conclude that you shouldn’t be running your own business.

I wish I was going to be there to see the potential fireworks

https://www.wilmott.com/archives/1648

No logos identity or any copyrighted will be used in this post as I don’t need need yet another fiasco fight with my Youtube channel or their Ivory Tower Manhattan lawyers. F*K em if they try but they will lose as always. Can’t we all get along here?

No matter, I do find him to be the grandfather of this entire quant movement as well as his book series is tops.  Respect him for that regardless.

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Wilmott predicts UK election for CQF

Wilmott predicts UK election for CQF

He uses his quant techniques but just remember this is for marketing to

http://www.cqfinstitutemedia.org/videos/1638.html

Thanks to the NYC Contact for sending

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Wilmott and Taleb are doing a 2-day seminar on Quantitative Risk Management in London (March 12-13)

Wilmott and Taleb are doing a 2-day seminar on Quantitative Risk Management in London (March 12-13)

This is from someon via my Facebook

http://www.wilmott.com/messageview.cfm?catid=20&threadid=97884

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Daniel Duffy of Wilmott explains why DotNet CSharp is wise for financial market applications and automated trading systems vs C Plus Plus

Daniel Duffy of Wilmott explains why DotNet CSharp is wise for financial market applications and automated trading systems vs C Plus Plus

I just discovered this from a well known professor. He explains why DotNet is useful for these type of platforms as well as his views of C++.

http://www.wilmott.com/blogs/cuchulainn/index.cfm/BK

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Here are the 2 Very important magazines if you are doing quant: Risk and Wilmott

Here are the 2 Very important magazines if you are doing quant: Risk and Wilmott

Read them  at:

http://www.wilmott.com/subscription.cfm

http://www.risk.net/risk-magazine

I always keep forget to list these. Thanks to someone on Linked In for reminding me.

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Swaptions: 1 Price, 10 Deltas, and… 6 1/2 Gammas*: Wilmott Magazine Article


Swaptions: 1 Price, 10 Deltas, and… 6 1/2 Gammas*: Wilmott Magazine Article
Marc Henrard

In practice, option pricing models are calibrated using market prices of liquid instruments. Consequently for these instruments, all the models give the same price. But the risk implied by them can be widely different. This note compares simple risk measures (first and second order sensitivity to the underlying yield curve) for simple instruments (swaptions). The main conclusion is that the hedging varies widely (up to 10% of the underlying risk) between the models, with the prevailing differentiating factor being the model dynamic.
The shape of the smile has also an impact but to a lesser extent. Hedging efficiency using historical simulation is analysed. Using data from the last three years, normal-like models perform consistently better.
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The R vs Matlab vs S-Plus debate. Who wins according to Wilmott?

The R vs Matlab vs S-Plus debate. Who wins according to Wilmott?

R:
Free
Interfaces to classic and feature rich C++ Quantlib library
Has more functions than S Plus
Not for beginners and need to learn a new programming language
Fairly slow and fails with extremely large datasets.
Need to spend two to three hours scouring forums and email lists to find complex routines
All command line
– R is free
– R will perform virtually all common statistical methods without additional programming
– R has graphics far superior to that of SAS and Excel, and rivals most other packages
– R is extensible. If you want to write C code and interface it with R, there is a simple way to do it
– R code/data written by you can be shared with the rest of the statistics community as an R package
– R documentation, including books, manuals, tutorials, etc. are freely available
A good choice for a programmer

S-Plus:
Free
Better interface than R

Matlab:
Close integration with Java
Well documented
Best interface of the three
More powerful than R
Allows simulations
Includes very useful toolboxes
Matlab is the preferred of the three
Matlab is for mathematicians while R is for statisticians
Fastest of the three. Twice as fast for matrices

This is what most people should look for when decideding on what programming language to go with:
The language should
• Have an intepreter for rapid prototyping, ease of debugging, and maximum fun.
• Have a native code (not just byte code) compiler that produces fast code that can be run stand-alone or be called from the interactive environment.
• Have good support for vectors, multi-dimensional arrays, strings, hash tables, etc. in the standard library.
• Have a free implementation.
• Work under linux and windows (so I can transfer code easily between my desktop and my laptop).
So I did some web searching and found lots of interesting stuff (see below).

From :
http://www.wilmott.com/messageview.cfm?catid=10&threadid=41031
http://talkstats.com/showthread.php?t=4524
http://www.cs.ubc.ca/~murphyk/Software/which_language.html

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