On a long trip from HK to JFK I reread The Crying of Lot 49 by Pynchon. I read it as a desperate attempt to…
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I am going to teach an introductory course in financial engineering, and I hate the way people who introduce the subject in continuous time struggle…
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To teach someone well, you have to be able to put yourself in that person’s mental place, because they are not you and don’t have…
Comments closedThese are twelve 2008 lectures on the Smile from a course I teach at Columbia. See the attached files. It has been modified a little…
Comments closedRe Felix Salmons’s post on
Comments closedDavid Ben Gurion, the first Prime Minister of Israel, once said in a speech: ?History did not spoil us with power, wealth, nor with broad…
Comments closedDerivatives Strategy DS: You’re a creator of models, but you also work with real live traders. How far do models go? Where does their value…
Comments closedWritten for the Risk Magazine 15th Anniversary Book on Risk Management. I never expected to be in the business world, not even a few years…
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A Vpro Backlight Documentary by Marije Meerman, featuring Paul Wilmott and Emanuel Derman.
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A few days ago I was at the beach, and I ate dinner at a small seafood shack run by a family. It was crowded…
Comments closedThus, if there is a new Asian crisis, it is arguably due to the Fed’s QE, though Krugman attempts to dodge this by saying they…
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Outtakes from Models.Behaving.Badly, typos and all. Derives modern portfolio theory, look ma no optimization:
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An early outtake from my book Models.Behaving.Badly. An attempt to explain the principles of neoclassical finance from a rational point of view, and to point…
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Understanding GER Contracts
Comments closedAhmed Wahidi is an Afghani goatherd with three wives, Aafifa, Latifa and Fatima. They live high in the Hindu Kush. David Burton is a computer…
Comments closedLate in life, when his roots should have held him steady, he became unmoored, and it seemed inappropriate. But who determined what was appropriate?
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The good days are here once again for models of the physical world: after a drought of almost fifty years, physicists at CERN have discovered what seems to be the long-awaited Higgs boson
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I am visiting the Santa Fe Institute, where everyone who?s anyone is interested in applying the quantitative methods of physics to complex phenomena that aren?t…
Comments closedWhen I came to write my memoir, the perception of having been a second-class citizen in the early days of quantitative strategies led me to think of the movie My Life as a Dog, and modify Dog to Quant for the title. The subtext was meant to be dogs.
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