This is my first post on Wilmott in a very long time; maybe 10 or so years, I forget how long it's been.

I've been trading equities full time for the past 5+ years after working as an Equity quant for a decade or so (equity structured products).

About a year ago, I decided that I needed to better understand how stop-losses worked and I fiddled around with the maths for a while and I submitted some stuff to Wilmott Magazine.  One of my papers (on stop-losses) is due to appear in the May edition and a couple more are in the pipeline.

Nassim Taleb did some really interesting work on stop-losses back in 1998 and is about to publish a paper on it.  He applied an option-theoretic approach and Paul also did some very nice work on the area around that time, some of which is in 'Black Wilmott' and the little red Cambridge Uni one.

In my (very biased) opinion, there are loads of really interesting problems to look at in this area; where option-theoretic methods can be applied in a whole new context.  I have a few papers in progress that would benefit from another set of eyes and I would love to chat to anybody interested, potentially with a view to collaboration.  I am a big user of Mathematica and analytical/PDE methods.

I've attached my two recent pre-prints: the first looks at the 'risk' reduction obtained from a stop-loss (variance etc), while the second looks at the problem from a different angle, where you have both a take-profit and stop-loss order for which you can grind out the optimal level of the stop.  It would be nice to have a better approximation than the one I have for the optimal stop as I think it would be useful for traders - it would be like a 'Kelly criterion' for stop-losses.