Blogs

A recent thread started by Herd (“One who doesn’t understand X is best qualified to talk about it”) reminded me of the following events, which are even worse than Herd’s point. A couple of years […]

I filled up my car’s petrol tank at the weekend. The cost was just a couple of pounds shy of £100. We’ve all heard the reasons behind the recent oil price rises, demand from China, […]

I spoke recently at a very academic conference. I usually prefer trader and fund events because of their focus on practical matters. But this was in a place that I’d never visited and so I […]

There’s been a lot of criticism of the Black-Scholes model of late, on our Forum, in our blogs, in the magazine (see Haug & Taleb, Wilmott magazine, January 2008) and in other media. Most is […]

Maths is fun. Many people reading this blog and the Forum get a real kick out of maths and problem solving. I’ve had many jobs and careers in the last three decades, and started various […]

Another day, another financial institution collapses. Bear Stearns, fifth largest US investment bank, has gone. I’ve worked closely with Bear brokerage in the past and quite enjoyed the experience. It’s the prime brokerage that JP […]

I’ve been critical of much of quant modelling for many years. I don’t like the assumptions, the models, the implementations. I’ve backed this up with sound reasons and wherever possible tried to find alternative approaches […]

One of the more quantie aspects of recent financial crises has been the valuation of CDOs, the highly complex credit instruments depending upon the behaviour of many, many underlyings. Now your typical quant favours just […]

One of the first lessons in any course on quantitative finance will be about portfolio construction and the benefits of diversification, how to maximize expected return for a given level of risk. If assets are […]