Category: Models

This is a sample from a recent newsletter of a listing of bunch of papers in behavioral finance: Conditional Cooperation: Evidence for the Role of…

I haven’t read The Social Animal by David Brooks, which I gather is about the ways in which a couple’s life illustrates the insights of…

Black-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…

When there is some news, do traders in the pits (when there were pits) think about the right vol and then set the option price?…

At work this morning I found myself thinking about calibration. Lately, some people have tried to debunk the idea of calibrating financial models, but I…

Almost four years ago I had a competition in which I asked people to enter one sentence that would pass on the essence quantitative finance…

An interesting remark, but I think a fallacious one, by Richard Dawkins in a recent conversation with David Attenborough: RD: There does seem to be…

An interesting remark, but I think a fallacious one, by Richard Dawkins in a recent conversation with David Attenborough: RD: There does seem to be…

? Courtesy?? Google has released a new upgrade to their operating system for Android mobile phones, and it is a bit of an improvement, so…

Finally, a sensible Op-Ed about AI and the premature and naive attribution of human qualities to human artefacts: Jaron Lanier in the NY Times

? than scientists? use of metaphors” That is the opening line of an article ( Not so Natural Selection ) in the latest NYR of…

Wall Street emails end with a disclaimer saying “Nothing in this email should be construed as a solicitation.” This is for legal protection. Environmentalists inform…

The 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…

A real letter I received a few days ago. ____________ Dear Professor Derman, I graduated from Columbia last May. I took your seminar on FE…

A few months ago I reread parts of The Ethics, Spinoza?s attempt to derive the laws of appropriate human behavior from first principles. Spinoza?s ideal…

Walking to work this morning I passed a Citibank branch which prominently displayed their promises to New York. The first was: We Promise to be…

I gave a talk recently in which I remarked that what distinguished theories from models iis that theories aspire to some sort of absolute truth…

I received an interesting-looking paper which I converted to PDF and posted at www.ederman.com…… Avoiding Economic Crises via the Stochastic Money Supply Falip. O. Lor…

I get a fair number of calls or emails from reporters who want to know if there really is a formula that destroyed the world.…

Preface A spectre is haunting Markets ? the spectre of illiquidity, frozen credit, and the failure of financial models. Beginning with the 2007 collapse in…

www.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…

but a good cigar is a smoke. Rudyard Kipling understood this. Why does no one else?

? 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…

The last two years I spent at Goldman in risk management I was involved in developing methodologies to mark illiquid derivatives held by a variety…

I spent most of my time in firmwide risk management at Goldman trying to get traders to mark their exotic products to market, or else…

I saw this conclusion on a website about the sociology of finance: “Are the purveyors of models selling us lemons? At the core of the…

Written for the Encyclopedia of Quantitative Finance www.ederman.com……

Today’s News Of The Week in Review has an article about the precipitous temporary decline in UAL stock when an old news story about their…

1. When did people first start to begin their emails with “Good morning” or “Good afternoon”? It suggests that you’re going to pay attention to…

There’s an article in the Sunday NY Times Business Section and one in the Economist. I have to say I’ve never seen anything really comforting…