Paul Wilmott (born 8 November 1959) is an English researcher, consultant and lecturer in

quantitative finance Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling in the financial field. In general, there exist two separate branches of finance that requ ...

.Financial gurus
He is best known as the author of various academic and practitioner texts on risk and derivatives, for ''Wilmott'' magazine and Wilmott.com, a quantitative finance portal, and for his prescient warnings about the misuse of mathematics in finance.

Early life

One of two sons of an accountant and an entrepreneurial mother, Wilmott attended Wirral Grammar School for Boys in

Bebington Bebington () is a town in the Metropolitan Borough of Wirral, in Merseyside, England. Historic counties of England, Historically part of Cheshire, it is south of Liverpool, close to the River Mersey on the eastern side of the Wirral Peninsula ...

, and read mathematics at

St Catherine's College, Oxford St Catherine's College (colloquially called St Catz or Catz) is one of the Colleges of the University of Oxford, constituent colleges of the University of Oxford. In 1974, it was also one of the first men's colleges to admit women. It has 528 un ...

. He stayed on to get a

DPhil A Doctor of Philosophy (PhD, DPhil; or ) is a terminal degree that usually denotes the highest level of academic achievement in a given discipline and is awarded following a course of graduate study and original research. The name of the deg ...

fluid mechanics Fluid mechanics is the branch of physics concerned with the mechanics of fluids (liquids, gases, and plasma (physics), plasmas) and the forces on them. Originally applied to water (hydromechanics), it found applications in a wide range of discipl ...

in 1985.

Career

After working on

mathematical modelling A mathematical model is an abstract description of a concrete system using mathematical concepts and language. The process of developing a mathematical model is termed ''mathematical modeling''. Mathematical models are used in applied mathemati ...

for various industries, Wilmott learned of the potential uses of mathematics in quantitative finance from a friend, and decided to become a consultant in the subject. He is currently the co-owner and Course Director for the Certificate in Quantitative Finance, a half-year distance learning course on mathematical finance at Fitch Learning, a London-based company providing training for the financial services industry. He is a director of Wilmott Electronic Media, which manages Wilmott.com, a website for the

quantitative analyst Quantitative analysis is the use of mathematical and statistical methods in finance and investment management. Those working in the field are quantitative analysts (quants). Quants tend to specialize in specific areas which may include derivative ...

community; and is a director of Paul & Dominic Quant Recruitment. He was a founding partner of Caissa Capital, a

volatility arbitrage In finance, volatility arbitrage (or vol arb) is a term for financial arbitrage techniques directly dependent and based on volatility. A common type of vol arb is type of statistical arbitrage that is implemented by trading a delta neutral po ...

hedge fund A hedge fund is a Pooling (resource management), pooled investment fund that holds Market liquidity, liquid assets and that makes use of complex trader (finance), trading and risk management techniques to aim to improve investment performance and ...

, since closed; founded the ''Diploma in Mathematical Finance'' at Oxford University; and established the journal ''Applied Mathematical Finance''.

Criticism of misuse of financial mathematics

Wilmott is a vocal and long-standing critic of the use of mathematical models in finance by quants. In a paper published by the

Royal Society The Royal Society, formally The Royal Society of London for Improving Natural Knowledge, is a learned society and the United Kingdom's national academy of sciences. The society fulfils a number of roles: promoting science and its benefits, re ...

in 2000, he stated that "It is clear that a major rethink is desperately required if the world is to avoid a mathematician-led market meltdown… The underlying assumptions in the models, such as the importance of the normal distribution, the elimination of risk, measurable correlations, etc., are incorrect". In 2008, he expressed his frustration in the lack of progress made in adopting more appropriate models: "I don't like the assumptions, the models, the implications… Banks and hedge funds employ mathematicians with no financial-market experience to build models that no one is testing scientifically for use in situations where they were not intended by traders who don’t understand them. And people are surprised by the losses!"This Is No Longer Funny Wilmott blog entry 10 March 2008
/ref> Writing during the

2008 financial crisis The 2008 financial crisis, also known as the global financial crisis (GFC), was a major worldwide financial crisis centered in the United States. The causes of the 2008 crisis included excessive speculation on housing values by both homeowners ...

, he stated: "I predict that things are going to get even worse". Reflecting his concerns, in 2009 Wilmott and fellow quant

Emanuel Derman Emanuel Derman (born 1945) is a South African-born academic, businessman and writer. He is best known as a quantitative analyst, and author of the book ''My Life as a Quant: Reflections on Physics and Finance''. He is a co-author of Black–D ...

co-authored the ''

Financial Modelers' Manifesto The Financial Modelers' Manifesto was a proposal for more responsibility in risk management and quantitative finance written by quantitative finance, financial engineers Emanuel Derman and Paul Wilmott. The manifesto includes a Modelers' Hippocratic ...

'', which lays out a series of principles for more responsibility in

risk management Risk management is the identification, evaluation, and prioritization of risks, followed by the minimization, monitoring, and control of the impact or probability of those risks occurring. Risks can come from various sources (i.e, Threat (sec ...

and quantitative finance

Criticism of funding for political parties

In 2015, Paul posed as a potential donor to the United Kingdom Conservative, Labour and Liberal Democrat parties in order to expose wrongdoing in the election. He suggested he was willing to donate £50,000 to each party. In the course of the investigation he met all three party leaders, met four cabinet ministers and two shadow cabinet ministers.Deputy PM Nick Clegg suggested ways businessman could split donation
/ref>

Publications

In addition to research papers on quantitative finance, Wilmott has authored several textbooks, including: * ''The Mathematics of Finance for High Schoolers'' (Panda Ohana 2023) * ''The Mathematics of Artificial Intelligence for High Schoolers'' (Panda Ohana 2023) * ''Machine Learning: An Applied Mathematics Introduction'' (Panda Ohana 2019) * ''Frequently Asked Questions in Quantitative Finance'' (Wiley 2007, 2009) * ''Paul Wilmott Introduces Quantitative Finance'' (Wiley 2007) * ''Paul Wilmott On Quantitative Finance'' (Wiley 2006) * With J.N.Dewynne and S.D.Howison, ''Mathematics of Financial Derivatives: a Student Introduction'' (Cambridge University Press 1995)

References

External links

Interview: ''Condé Nast Portfolio''
{{DEFAULTSORT:Wilmott, Paul 1959 births Living people Financial economists Alumni of St Catherine's College, Oxford Writers who illustrated their own writing