Paul Wilmott | |
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 Paul Wilmott in 2012 | |
| Born | (1959-11-08)8 November 1959 (age 65) Birkenhead |
| Nationality | British |
| Alma mater | St Catherine's College, Oxford (DPhil, 1985) |
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| Known for | Wilmott wilmott.com |
| Children | 4 |
Paul Wilmott (born 8 November 1959)[1] is anEnglish researcher, consultant and lecturer inquantitative finance.[2] He is best known as the author of various academic and practitioner texts on risk and derivatives,[2] forWilmott magazine and Wilmott.com, a quantitative finance portal, and for his prescient warnings about the misuse of mathematics in finance.[3]
One of two sons of an accountant and an entrepreneurial mother, Wilmott attended Wirral Grammar School for Boys inBebington, and read mathematics atSt Catherine's College, Oxford. He stayed on to get aDPhil[4] influid mechanics in 1985.[5]
After working onmathematical modelling 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 theCertificate 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.[6] He is a director of Wilmott Electronic Media, which manages Wilmott.com, a website for thequantitative analyst community; and is a director of Paul & Dominic Quant Recruitment.[7]He was a founding partner ofCaissa Capital, avolatility arbitragehedge fund, since closed; founded theDiploma in Mathematical Finance at Oxford University;[8] and established the journalApplied Mathematical Finance.[9]
Wilmott is a vocal and long-standing critic of the use of mathematical models in finance byquants. In a paper published by theRoyal Society 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 normaldistribution, the elimination of risk, measurable correlations, etc., are incorrect".[10]
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!"[11]
Writing six months before the depths of the2008 financial crisis, he stated: "I predict that things are going to get even worse".[11]
Reflecting his concerns, in 2009 Wilmott and fellow quantEmanuel Derman co-authored theFinancial Modelers' Manifesto, which lays out a series of principles for more responsibility inrisk management and quantitative finance[12]
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.[13]
In addition to research papers on quantitative finance, Wilmott has authored several textbooks, including:
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