Paul's Blog

Science in Finance V: Diversification

20th February 2008 admin 0

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 […]

Paul's Blog

Science in Finance IV: The feedback effect

29th January 2008 admin 0

For every buyer there is a seller and vice versa. So at a first glance derivatives is a zero-sum game, someone wins and someone loses, and the amounts are identical. Therefore there can be no […]

Paul's Blog

Science in Finance II “…ists”

10th December 2007 admin 0

A century or two ago, finance was the career for the less talented members of the family. Sons of the aristocracy would eventually go to sit in the House of Lords, while overseeing their property. […]

Paul's Blog

Science in Finance I: Supply and demand

5th December 2007 admin 0

That’s it in a nutshell, supply and demand. Everything is driven by supply and demand. And if you want any financial principle as the foundation for a (scientific) theory then this is it, just like […]

Paul's Blog

Science in Finance: Introduction

27th November 2007 admin 0

Having for most of my quant career attacked the majority of mathematical modelling in finance for being ‘unscientific’ (in the sense that the theories are rarely tested before being used, and when tested usually fail […]

Paul's Blog

It is and it isn’t

8th November 2007 admin 0

I couldn’t resist this rather trivial blog, just a comment really on happenings at a recent quantie dinner. In attendance, going clockwise around the table at Union Square Cafe, PW, Bruno Dupire, Salih Neftci, Peter […]

Paul's Blog

Priests and Applied Mathematicians

9th October 2007 admin 0

Nassim Taleb and I were lecturing in Mexico City at the weekend (thanks, RiskMathics!). In our free time we visited Teotichucan with its two impressive pyramids. The larger (Pyramide del Sol) is the third largest […]

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