Blogs

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 […]

We are running a survey. As a break from blaming anonymous men in suits for the current crisis, can you tell us which quants and which models ought to take some of the responsibility for […]

Oblivious closely followed by oblivion.

There are some tough decisions ahead. Not!

We all know that the relationship between credit-ratings agencies and the clients they rate is a corrupt one, reeking of moral hazard. Some of us have even laughed when told that a company is triple-A […]

We’ve seen the deaths of Polonius, Claudius, and Laertes, otherwise known as house-price falls, commodity-price rises and bank collapses. There still remains the death of Hamlet himself, the final double-digit percentage stock market crash. That […]

Events of the last year seem to have passed a lot of researchers by. I find it both amusing and disturbing that the same people are still giving the same lectures about the same models […]

I continue to find myself in the middle of the argument over validity of Black-Scholes. On one side are those who we might call “the risk neutrals.” Those heavily invested in the concepts of complete […]

I got a great response to my maths sweet spot blog. Great in the sense of numbers of people writing to me and great in the sense that every single one of them agreed with […]