This is my tale of disappointment, of ground-breaking research gone awry and then embraced as a tool for political manipulation, written in December 2012. F.A.Z.-Column…
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Video of Lecture on Models Behaving Badly at The Institute of Physics, London, 2013
Comments closedThe evolution of a quantitative approach to finance has proceeded through many small but significant steps and occasional large epiphanies. A Stylized History This was…
Comments closedWhat excess return should a fund of funds expect to earn for investing in a hedge fund with an extended lockup? In this paper we…
Comments closedAn amalgam of the answers I liked best came from Umut Gokcen and Mario G. It went something like this, modified a little by me.…
Comments closedWhen I worked in firmwide risk I didn’t clearly understand what our job was — control risk, measure risk, whatever? Recently I heard a very…
Comments closedThe key result of options pricing is that if you hedge at implied volatility, then over the next instant dt a long options position produces…
Comments closedI got a fair number of answers to the question of what single sentence would best pass on the essence of quantitative finance to the…
Comments closedA couple of posts ago I was pondering what single sentence about quantitative finance would best tell people in the future how to think about…
Comments closedI was having a conversation about model risk the other day, and I think it’s a misnomer. Risk to me means the possibility that something…
Comments closedIn his review of the recent books by Smolin and Woit on the status of string theory, David Lindley writes: (see www.wilsoncenter.org……): “The problem with…
Comments closedI wrote a couple of days ago about how quantitative finance keeps working in the same paradigm — pick a process, calibrate it to liquid…
Comments closedI heard some very good seminars in the last few days on credit modeling. But after my excitement at understanding something I didn’t understand before,…
Comments closedMarek Musiela gave a very interesting talk at Columbia the other evening about trying to use a derivatives framework to handle optimal asset allocation. A…
Comments closedThis is a very old paper we wrote in Quantitative Strategies concerned with how to value options on stocks that settle in the old European…
Comments closedThe quant shops want malleable intellect untainted by Wall Street dogma — i.e., not buy, sell, or hold” types. “They’re not really looking to make…
Comments closedI was thinking some more about what makes a good theory. In the natural sciences, a good theory is one that makes accurate predictions. There,…
Comments closedEveryone always wants to know what makes a good model. One way to think about it is that a good model takes some already valid…
Comments closedA student at another university recently sent me a question which I’ve often wondered about myself: “Any introductory economics course in college will introduce the…
Comments closedWe had the orientation for new students at the Columbia FE program yesterday, and I listened to several of our past students talk about how…
Comments closedWell, not quite myths, but objections. I don’t like axiomatization in finance. I believe you should learn things more sloppily the first time around, and…
Comments closedMany interviews now concentrate on giving people technical and mathematical quizzes. You can get books to help prepare for them. Quizzes are good at finding…
Comments closedThe Legacy of Fischer Black. Edited by Bruce N. Lehmann. Oxford University Press, Inc. 198 Madison Avenue, New York, New York 10016, USA. 306 pages,…
Comments closed? In implementing models, one of the most common mistakes I’ve made, and seen others make, is to check them sloppily. For example, suppose you…
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Comments closedAs physics students at the liberal University of Cape Town in apartheid-era South Africa, we looked down on engineering students. They had a reputation for…
Comments closedIntroduction to the Japanese Edition of My Life as a Quant” I first visited Tokyo in 1990, when I worked at Goldman, Sachs & Co.…
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How well does options pricing theory really work, and how dependent is it on the notion of dynamic replication? In this note we describe what…
Comments closedHas Quantitative Finance reached its limits? I intend to answer this from a principled point of view, in the same spirit as someone might answer…
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