Paul's Blog

Control Reversal

5th March 2009 Paul 0

There’s a well known phenomenon in aerodynamics in which a plane’s flight controls appear to do the opposite of what is intended. This can happen at high speed, for example. (I have a vague memory […]

Paul's Blog

Copulas and Cults

24th February 2009 Paul 0

Felix Salmon has written an interesting piece on the copula model. Naturally the model does not come out well. He quotes me, accurately, as disapproving, to put it mildly, of models that depend on correlations […]

Paul's Blog

In Praise of Ponzi

2nd February 2009 Paul 0

Well not really, of course. But there are some people quietly sitting pretty… As it becomes generally accepted that the economy of the west is a giant Ponzi scheme, one should reflect on its positive […]

Paul's Blog

Bailouts, Ponzi Schemes and Green Issues

29th January 2009 Paul 0

The Lord of Darkness, Peter Mandelson, and I went to the same college, I am embarrassed to admit. (No, I could not have taken the opportunity to push a stake through his heart because he […]

Paul's Blog

Financial Modelers’ Manifesto

8th January 2009 Paul 0

The Financial Modelers’ Manifesto Preface A spectre is haunting Markets – the spectre of illiquidity, frozen credit, and the failure of financial models. Beginning with the 2007 collapse in subprime mortgages, financial markets have shifted […]

Paul's Blog

Economics Makes My Brain Hurt

1st January 2009 Paul 0

A friend of mine, you may know him, you certainly know ‘of’ him, has called for the return of a couple of economics Nobel Prizes. It’s Nassim Nicholas Taleb, in case you didn’t know. (I […]

Paul's Blog

Magicians And Mathematicians

12th December 2008 Paul 0

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


9th December 2008 admin 0

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 […]

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