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 […]

Paul's Blog

Nurse, Hand Me That Scalpel

19th September 2008 admin 0

We all know that the relationship between credit-ratings agencies and the clients they rate is a corrupt one, reeking of moral hazard. Some of us have even laughed when told that a company is triple-A […]

Paul's Blog

Where’s Hamlet?

16th September 2008 admin 0

We’ve seen the deaths of Polonius, Claudius, and Laertes, otherwise known as house-price falls, commodity-price rises and bank collapses. There still remains the death of Hamlet himself, the final double-digit percentage stock market crash. That […]

Paul's Blog

The Same Old Same Old

1st September 2008 admin 0

Events of the last year seem to have passed a lot of researchers by. I find it both amusing and disturbing that the same people are still giving the same lectures about the same models […]

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