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Category: writing

On Models

When I was in grade school we used to build model airplanes out of kits. The frame was made out precut pieces of balsa wood,…

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Investing in Volatility

Published in Futures and Options World 1998 Special Supplement on the 25th Annivesary of the Publication of the Black-Scholes Model In the beginning was the bond,…

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A Calculus of Risk

Scientific American, May 1998 Months before El Niño driven storms battered the Pacific Coast of the U.S., the financial world was making its own preparations…

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The Future of Modeling

What is the purpose of modelling, in any field? Clearly, it is divination whether foretelling the future, or controlling it. So my task here is…

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Model Risk

(RISK, 9-5 May 1996, pp. 139-145, pp. 34-37) Model Risk – FULL This report analyzes the assumptions and risks involved in using models to value…

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Outperformance Options

To me, outperformance options1 are especially interesting because of the alternating layers of complexity and simplicity you discover as you probe more deeply into their…

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