Paul Wilmott (born 8 November 1959) is an

English English usually refers to: * English language * English people English may also refer to: Peoples, culture, and language * ''English'', an adjective for something of, from, or related to England ** English national ...

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 of financial markets. In general, there exist two separate branches of finance that require ...

.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 and unparished area within the Metropolitan Borough of Wirral, in Merseyside, England. Historically part of Cheshire, it lies south of Liverpool, close to the River Mersey on the eastern side of the Wirral Peninsul ...

, and read mathematics at

St Catherine's College, Oxford St Catherine's College (colloquially called St Catz or Catz) is one of the constituent colleges of the University of Oxford and is the newest college admitting both undergraduate and graduate students. Tracing its roots back to 1868 (although t ...

. He stayed on to get a

DPhil A Doctor of Philosophy (PhD, Ph.D., or DPhil; Latin: or ') is the most common degree at the highest academic level awarded following a course of study. PhDs are awarded for programs across the whole breadth of academic fields. Because it is ...

fluid mechanics Fluid mechanics is the branch of physics concerned with the mechanics of fluids ( liquids, gases, and plasmas) and the forces on them. It has applications in a wide range of disciplines, including mechanical, aerospace, civil, chemical and ...

in 1985.

Career

After working on

mathematical modelling A mathematical model is a description of a system using mathematical concepts and language. The process of developing a mathematical model is termed mathematical modeling. Mathematical models are used in the natural sciences (such as physi ...

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 may refer to: * Quantitative research, scientific investigation of quantitative properties * Quantitative analysis (disambiguation) * Quantitative verse, a metrical system in poetry * Statistics, also known as quantitative analysis ...

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 port ...

hedge fund A hedge fund is a pooled investment fund that trades in relatively liquid assets and is able to make extensive use of more complex trading, portfolio-construction, and risk management techniques in an attempt to improve performance, such as ...

, 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 six months before the depths of the

2008 financial crisis 8 (eight) is the natural number following 7 and preceding 9. In mathematics 8 is: * a composite number, its proper divisors being , , and . It is twice 4 or four times 2. * a power of two, being 2 (two cubed), and is the first number of ...

, 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–Derm ...

co-authored the '' Financial Modelers' Manifesto'', which lays out a series of principles for more responsibility in risk management 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: * ''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