Life in the tail
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 […]
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 […]
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