Not wanting to compete with the Collector’s ‘The World is My Office,’ of course, but even on top of a volcano one can check one’s emails. This is Haleakala, the volcano on the East of […]

As promised, here is some of the mathematics behind hedging options when you think that there is an arbitrage opportunity. Let’s keep the problem simple. You are in a Black-Scholes world. Volatility is constant. But […]

I continue to be staggered by the depth and detail of some people’s understanding of complicated quant models while these same people have absolutely no appreciation of the bigger picture. A case in point is […]

Dear All, I’m going to use this blog to give people access to miscellaneous research lectures of mine, to keep them abreast of my current areas of research, to give some subtle publicity for various […]