Paul's Blog
Swedish Message
And so my travels take me to the OMX in Stockholm where I had been invited to give a few lectures (fear and greed, blackjack and vol arb). The other two speakers were Joe Corona […]
Blogs
Paul's Blog
Cannes Film Festival
The Cannes Film Festival, of sorts, began in 1939 as a palatable alternative to the Venice Film Festival which had by then developed a nasty habit of giving all its awards to chums of Hitler […]
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 […]
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 […]
NNT's Blog
Quiz 7 – The problem with “drift” (The 1st who gets it wins a copy of The Black Swan )
When you ask someone the following question: A currency has 5% interest rates (can be generalized to any security). The base currency (costs of funds) is 5%.The underlying moves up 1% a day for 22 […]
NNT's Blog
Marks-to-Market, Risk, Fraud, Accounting Opacity, & Black Swans
I recall in my past life as a trader working for financial institutions that some desks, mostly bank units, did not want to deal with the volatility of the marks-to-market on a daily or monthly […]
NNT's Blog
“Successful” models & simple backtests
Seven Years Later I was reading (for the new edition Dynamic Hedging) an article by Leland and Rubinstein on portfolio insurance when I stumbled upon the following footnote: M. Rubinstein and H. Leland, “Replicating Options […]
NNT's Blog
Path Dependence and Volatility
Introduction: A Garlic-Oriented Meeting The first time I met Emanuel Derman, it was in the summer of 1996, at Uncle Nick’s on 48th street and 9th Avenue. Stan Jonas paid, I remember (it is sometimes […]
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 […]