Paul's Blog

Hedge Fund Blow Ups – Any Day Now!

24th October 2008 admin 0

Yesterday I was speaking at a hedge fund conference. On a discussion panel with me were some very eminent hedge fund managers. When asked their returns all of them said ten, 15, 20 percent this […]

Paul's Blog

Serial Autocorrelation And Derivatives

22nd October 2008 admin 0

Very, very few people have published on the subject of serial autocorrelation (SAC) and derivatives pricing and hedging. Being a specialist in doing things that are important rather than doing what everyone else does, I […]

Paul's Blog

Moral Hazard for the Masses!

6th October 2008 admin 0

The current situation is rather like a cross between the two movies Trading Places and Ocean’s Eleven. And now that I’ve finally got (most of) my AIG money back (see this NY Times article for […]

Paul's Blog

Name and Shame in Our New Blame Game!

1st October 2008 admin 0

We are running a survey. As a break from blaming anonymous men in suits for the current crisis, can you tell us which quants and which models ought to take some of the responsibility for […]