Paul's Blog

Actuaries Versus Quants

17th November 2008 admin 0

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

13th November 2008 admin 0

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

2nd November 2008 admin 0

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

Hedge Fund Blow Ups – Any Day Now!

24th October 2008 admin 0

Yesterday I was speaking at a hedge fund conference. On a discussion panel with me were some very eminent hedge fund managers. When asked their returns all of them said ten, 15, 20 percent this […]

Paul's Blog

Serial Autocorrelation And Derivatives

22nd October 2008 admin 0

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!

6th October 2008 admin 0

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 […]

Paul's Blog

Name and Shame in Our New Blame Game!

1st October 2008 admin 0

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 […]

Paul's Blog

Nurse, Hand Me That Scalpel

19th September 2008 admin 0

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 […]

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