Paul's Blog

Magicians And Mathematicians

Quantitative finance and risk management are not just about the numbers. Numbers play a part, but so does the human side of the business. When analyzing risk it is important to be able to think […]

Paul's Blog

Frustration

As you will no doubt know, I have been frustrated by quants for a long, long time. Their modelling of markets is a strange combination of the childishly naïve and the absurdly abstract. On a […]

Paul's Blog

Actuaries Versus Quants

The following article was written in August 2008 for The Actuary magazine. I was reminded of it by the responses to our Name and Shame Blame Game. ******************* Those working in the two fields of […]

Paul's Blog

Cheese and Globalization

A couple of years ago, at the dinner after one of the courses I teach with Nassim Taleb, I asked the multicultural group of delegates a question that I’d been thinking about and suspected I […]

Paul's Blog

Hedge Funds: The Future

Word on the street and common sense suggest the following short- and medium-term future for hedge funds: 1) On average hedge funds will probably have done not much better or worse than the market as […]

Paul's Blog

Serial Autocorrelation And Derivatives

Very, very few people have published on the subject of serial autocorrelation (SAC) and derivatives pricing and hedging. Being a specialist in doing things that are important rather than doing what everyone else does, I […]

Paul's Blog

Moral Hazard for the Masses!

The current situation is rather like a cross between the two movies Trading Places and Ocean’s Eleven. And now that I’ve finally got (most of) my AIG money back (see this NY Times article for […]