And so my travels take me to the OMX in Stockholm where I had been invited to give a few lectures (fear and greed, blackjack and vol arb). The other two speakers were Joe Corona […]

The Cannes Film Festival, of sorts, began in 1939 as a palatable alternative to the Venice Film Festival which had by then developed a nasty habit of giving all its awards to chums of Hitler […]

Espen was kind enough to invite me to speak at the launch of his Derivatives: Models on Models at the Oslo Stock Exchange last week. My talk was on Blackjack (I hope to have it […]

Had dinner with Nassim Taleb last night, at Carluccio’s off Russell Square. I realise now how he got into this Black Swan thing…his entire life is lived in the tail, every time we meet there […]

Paul Shaw (CEO of 7city Learning) and I have just returned from a week in China, starting in Shanghai and then going on to Beijing. We were invited there to explain about the Certificate in […]

The Market Price of Risk is a much-neglected quantity. It is a concept that you’ll find in models of incomplete markets. In a nutshell, if a market is incomplete and you can’t hedge away some […]

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 […]