Paul's Blog
Espen Haug book launch
Espen was kind enough to invite me to speak at the launch of his Derivatives: Models on Models at the Oslo Stock Exchange last week. My talk was on Blackjack (I hope to have it […]
Year: 2007
Paul's Blog
Life in the tail
Had dinner with Nassim Taleb last night, at Carluccio’s off Russell Square. I realise now how he got into this Black Swan thing…his entire life is lived in the tail, every time we meet there […]
Paul's Blog
Quantitative Finance in China
Paul Shaw (CEO of 7city Learning) and I have just returned from a week in China, starting in Shanghai and then going on to Beijing. We were invited there to explain about the Certificate in […]
Paul's Blog
Fear and Greed: The Market Price of Risk
The Market Price of Risk is a much-neglected quantity. It is a concept that you’ll find in models of incomplete markets. In a nutshell, if a market is incomplete and you can’t hedge away some […]