There is an unfortunate strain of pedantry running through the teaching of quantitative finance, one involving an excess of abstraction, formality, rigour and axiomatisation that makes the subject unnecessarily daunting and difficult. Over the years I’ve seen a few too many fresh graduates who, on being asked why one believes one can obtain a credible value for an option, reply that it’s because of Girsanov’s theorem.
I’d like to think most of the useful as- pects of quantitative finance are relative- ly simple, and so, here is my rather abbreviated poor man’s guide to the field …