Financial Mathematics Quotes

I have a name for people who went to the extreme efficient market theory-which is "bonkers". It was an intellectually consistent theory that enabled them to do pretty mathematics. So I understand its seductiveness to people with large mathematical gifts. It just had a difficulty in that the fundamental assumption did not tie properly to reality.

The HoLee model was the first term structure model. I remember reading their paper soon after it was published and as it was fairly different from many of the other papers that I had read, I had to read it quite a few times. I realized that it was a really important paper.

... preliminary accounting, banking and surveying (known as arithmetic, algebra and geometry).

In the financial sector, those whom the gods want to destroy they first teach math.

Alan White and I spent the next two or three years working together on this. We developed what is known a stochastic volatility model. This is a model where the volatility as well as the underlying asset price moves around in an unpredictable way.

Compound interest is proof of gods existence.

To be successful, you should concentrate on the world of companies, not arcane accounting mathematics.

Our starting point then was trying to find a way to incorporate mean reversion into the HoLee model.