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Category: Finance
BlackScholesTwitter
Comments closedThere is an unfortunate strain of pedantry running through the teaching of quantitative finance, one involving an excess of abstraction, formality, rigor, and axiomatisation that…
Comments closedWe examine a broad variety of strategies intended to protect a fund of funds from downside risk, focusing on the protection provided by investing…
Comments closedFinancial Heists – article in The Guardian
Comments closedIdeal money is a security that has no dimension. Ideal money is atomic, structureless, has no extension but has infinite duration. Ideal money has zero…
Comments closedVideo 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 closedI am going to teach an introductory course in financial engineering, and I hate the way people who introduce the subject in continuous time struggle…
Comments closedOccasionally I despair of the way people teach quantitative finance. They put so much effort into teaching students to do the heavy lifting of equivalent…
Comments closedAn early outtake from my book Models.Behaving.Badly. An attempt to explain the principles of neoclassical finance from a rational point of view, and to point…
Comments closedUnderstanding GER Contracts
Comments closedI have been reading a column in the Sydney Morning Herald by their Economics Writer Jessica Irvine.
Comments closedIf there’s one larger lesson one learns from options theory that transcends its technical details, it’s that there aren’t unmitigated goods.
Comments closedI said I would try to explain what I mean by sophisticated vulgarity in financial modeling, which I will do by imperfect analogy.
Comments closedEdward Hadas of the FT/Lex has an interesting video on the debt ceiling fiasco called Playing Chicken with America’s Future.
Comments closedIf you are going to seek a career in quantitative finance, what’s your advantage?
Comments closedThe other day the new MSFE students showed up at Columbia for orientation and I had to welcome them. These are some notes from what I said.
Comments closedI read an article somewhere today about how BNY Mellon had to pay several hundred million dollars for unfairly overdrafting customers, and it struck me…
Comments closedBlack-Scholes or Bust There are two ways to look at the derivation of Black-Scholes: (i) the way Black and Scholes derived it originally, which was…
Comments closedIn investing, the crowds get beta, the smart money gets alpha. It’s kind of undemocratic. The SEC, who aim* to level the playing field by…
Comments closedAt work this morning I found myself thinking about calibration. Lately, some people have tried to debunk the idea of calibrating financial models, but I…
Comments closedThe other day I wanted to look up some statistics on certain stocks — volatility, correlation with the S&P, etc. I went to yahoo/finance and…
Comments closedA few months ago I wondered why banks can pay 50% of their revenue in bonuses, and why their profits are so large. One of…
Comments closedPreface A spectre is haunting Markets ? the spectre of illiquidity, frozen credit, and the failure of financial models. Beginning with the 2007 collapse in…
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…
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