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Category: Models

Painted Black

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,…

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The Winner

I 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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Model “Risk”

I 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…

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Marek Musiela gave a very interesting talk at Columbia the other evening about trying to use a derivatives framework to handle optimal asset allocation. A…

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Why Models Work [?]

A 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…

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On Models

Metaphors, 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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