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 […]

Some models are better than others. Sometimes even working with not-so-good models is not too bad. To a large extent what determines the success of models is the type of market. Let me give some […]

I attended some of the recent Savoy auction by Bonhams this week and I couldn’t resist observing the events from a quant perspective! In particular, I was drawn back again to the question of valuation […]

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. […]

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 […]

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 […]

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 […]

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 […]

Watching Gordon Brown speaking at the Labour Party conference I was reminded of that quotation by the insightful Georges Clemenceau, “Not to be a socialist at 20 is proof of want of heart, to be […]

Entirely unoriginal, but I couldn’t resist taking this photo from the dais before my recent lecture at the HSBC Global Markets Conference, Latin America, held at Los Cabos, Mexico. (One of the audience members suggested […]