Paul's Blog

Financial Modelers’ Manifesto

8th January 2009 Paul 0

The Financial Modelers’ Manifesto Preface A spectre is haunting Markets – the spectre of illiquidity, frozen credit, and the failure of financial models. Beginning with the 2007 collapse in subprime mortgages, financial markets have shifted […]

Paul's Blog

Economics Makes My Brain Hurt

1st January 2009 Paul 0

A friend of mine, you may know him, you certainly know ‘of’ him, has called for the return of a couple of economics Nobel Prizes. It’s Nassim Nicholas Taleb, in case you didn’t know. (I […]

Paul's Blog

Magicians And Mathematicians

12th December 2008 Paul 0

Quantitative finance and risk management are not just about the numbers. Numbers play a part, but so does the human side of the business. When analyzing risk it is important to be able to think […]

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Frustration

9th December 2008 admin 0

As you will no doubt know, I have been frustrated by quants for a long, long time. Their modelling of markets is a strange combination of the childishly naïve and the absurdly abstract. On a […]

Paul's Blog

Actuaries Versus Quants

17th November 2008 admin 0

The following article was written in August 2008 for The Actuary magazine. I was reminded of it by the responses to our Name and Shame Blame Game. ******************* Those working in the two fields of […]

Paul's Blog

Cheese and Globalization

13th November 2008 admin 0

A couple of years ago, at the dinner after one of the courses I teach with Nassim Taleb, I asked the multicultural group of delegates a question that I’d been thinking about and suspected I […]

Paul's Blog

Hedge Funds: The Future

2nd November 2008 admin 0

Word on the street and common sense suggest the following short- and medium-term future for hedge funds: 1) On average hedge funds will probably have done not much better or worse than the market as […]

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 […]

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