The complex financial models that got us into this mess too often mask human nature behind false limitations of risk Whirring away at the center…
Comments closedAuthor: Emanuel Derman
I suggested in a recent blog that people in the financial supply chain be paid in PIKs, in the illiquid securities they participate in creating,…
Comments closedNames are destiny, as I’ve observed in a previous blog. The building my son lived in recently “retained the services of Mr Jonathan Flothow, the…
Comments closedwww.edge.org…… has a proposal Can Science Help Solve The Economic Crisis? www.edge.org…… for a group of scientists and economists to collaborate in solving the economic…
Comments closedI just returned from 6 days in Florence and then 2 days in London. In Florence I saw lots. It rained every single day there,…
Comments closedWhen I was in grade school we used to build model airplanes out of kits. The frame was made out precut pieces of balsa wood,…
Comments closedI am in Florence for a few days, having taken a very convenient Delta flight from JFK to PIsa on Thanksgiving evening. On the plane…
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In 1990 when the cold war ended it was fashionable to think about the end of history and the triumph of the benign two-cheers-for-democracy capitalist…
Comments closedIn the current New Yorker, John Lanchester marks the publication of Black-Scholes as the start of modernism in finance, and then remarks: “It seems wholly…
Comments closedEverything comes in flavors these days, even things you see while waiting in drugstores that you don’t want to think or talk about, and so…
Comments closedbut a good cigar is a smoke. Rudyard Kipling understood this. Why does no one else?
Comments closedToday?s economic turmoil, it seems, is an implicit indictment of the arcane field of financial engineering ? a blend of mathematics, statistics and computing. Its…
Comments closedI agree with Paul Wilmott’s latest blog: “For several years now I have been advising that potential investors in funds really need to take their…
Comments closed? Part of the trouble with the economic crisis is that people and firms have an incentive to borrow short term to invest in long-term…
Comments closedThis is a noble proposal, but I remain a bit of a skeptic with respect to the ability of a cohort of scientists and economists…
Comments closedI found the book cover at left on the internet. According to www.telegraph.co.uk/news/3255972/Harry-Potter-fails-to-cast-spell-over-Professor-Richard-Dawkins.html… Richard Dawkins is now worried about the effect of fables on children…
Comments closedThis is a picture of a rare useful expensive-looking corporate gift. See below. ________________________________________________________ Irritants: 1. Invitations to LinkedIn and email reminders that they’re about…
Comments closedFinancial Innovation Conference Vanderbilt University October 16, 2008^ Nashville The Law of Selective Gravity By Leo Melamed There is no way to sugar coat it:…
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I’ve been catching up on the Nobel prizes. I was pleased to read about Nambu’s physics prize. He did profound and yet simple work on…
Comments closedThe truth is that computers are created by humans. They are not superintelligent. Even on Wall Street, they merely count very fast at the behest…
Comments closedThis is still on my mind. There is a coupling between marking illiquid securities and rewarding people for trading them; in both cases, you need…
Comments closedFor a while yesterday I felt like the market was finally hitting the bottom, and so I wasn’t surprised to see the recovery late in…
Comments closedThe last two years I spent at Goldman in risk management I was involved in developing methodologies to mark illiquid derivatives held by a variety…
Comments closedWhen I lived in South Africa in the ’60s, we used to buy Ayn Rand’s books when we traveled overseas, together with those of Henry…
Comments closedI spent most of my time in firmwide risk management at Goldman trying to get traders to mark their exotic products to market, or else…
Comments closedI saw this conclusion on a website about the sociology of finance: “Are the purveyors of models selling us lemons? At the core of the…
Comments closedJust some odd remarks. 1. Re Paul’s Name and Blame blog: I don’t think quants are the main mover behind the current crisis, which was…
Comments closedSleep is the interest we have to pay on the capital which is called in at death; and the higher the rate of interest and…
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