This is an unconsidered piece. I’m a little tired of reading about what a travesty Black-Scholes is. First of all, the real trouble isn’t Black-Scholes,…
Comments closedCategory: Models
I went to see “I’m Not There”, a movie about Bob Dylan’s double. It’s a bit long, but what’s impressive in the movie, besides his…
Comments closedKerry Back’s excellent Springer book entitled “A Course in Derivative Securities” makes a remark about the numeraire/martingale way of looking at options pricing: “It seems…
Comments closedGAIM recently had an all-day conference in New York City on hedge fund replication. There are three approaches, and I’m a little sceptical/skeptical about them…
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 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 closedI was in Geneva at a Risk Conference earlier this week, and one of the talks I heard about behavioral finance posited that the most…
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 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 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 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…
Comments closedI’m very pleased and very honored to be able to introduce Dr Oldrich Vasicek here today on his induction into the Derivatives Hall of Fame.…
Comments closedMetaphors, Models & Theories When I was in grade school we used to build model airplanes out of kits. The frame was made out precut…
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