Paul's Blog

Mexican Wave

2nd July 2007 admin 0

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 […]

Paul's Blog

Swedish Message

10th June 2007 admin 0

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 […]

Paul's Blog

Cannes Film Festival

24th May 2007 admin 0

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 […]

Paul's Blog

Espen Haug book launch

13th May 2007 admin 0

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 […]

Paul's Blog

Life in the tail

3rd May 2007 admin 0

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's Blog

Quantitative Finance in China

26th March 2007 admin 0

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 […]

Paul's Blog

Fear and Greed: The Market Price of Risk

14th February 2007 admin 0

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 […]

Paul's Blog

Top of the world, Ma!

13th August 2006 admin 0

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 […]

Paul's Blog

Volatility arbitrage, some results

8th July 2006 admin 0

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 […]

Paul's Blog

Volatility arbitrage

27th June 2006 admin 0

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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