|Quant analytics: The Role of Mathematics in Finance: Relevance, Reliance, Robustness
This is the recording of Paul Wilmott’s recent Paris lecture in which he enlightens, entertains and enrages in equal measure. His lecture is highly critical of quant modelling. On this occasion the specific targets of his disapproval are calibration, market completeness and how quant finance has become predictable. He ends on an example of ridiculous modelling from alternative risk transfer. Paul Wilmott is probably the quant most consistently critical of mathematical finance, and has been for 15 years. His denunciation of commonly held, but erroneous, beliefs is based on his own research, analysis of data, his experience running a hedge fund and, above all, basic common sense. But his negative comments rarely come without positive proposals for how mathematical modelling can be better used.
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