Kutilya
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| Quote Machine |
| Total Posts: 1293 |
| Joined: Jun 2004 |
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pj
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| Total Posts: 3604 |
| Joined: Jun 2004 |
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don't buy it
a quote
"Writing is quicker than thought and vision."
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вакансия "Программист Психологической службы"
-але! у нас ошибко! не работает бля-бля-бля
-вы хотите об этом поговорить? |
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dgn2
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| Total Posts: 2077 |
| Joined: May 2004 |
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| I am working my way through it in my 'spare time'...so I am only 2 CH in! I found the writing style of the first CH just painful...get to the point man we have all had the same thoughts...we are all thinking many of the same things. I have a lot more of it to read before I can say anything that is perhaps constructive. |
...WARNING: I am an optimal f'er |
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gconvex
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| Total Posts: 38 |
| Joined: Mar 2010 |
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Complete and utter waste of time... judging by the summary and the endorsement by Taleb. See also this funny little project: http://www.ito33.com/
A while back he had an article "The irony of Variance Swaps" in W****T* where  he managed to get Richard Rorty into his Bibliography!
If you are craving Philosophy out of the dark abyss of professional finance, read Derman's blog instead - less pretentious, more style, "better man"  |
A properly civilizing task is to revisit old commonplace things. |
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chiral3
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| Founding Member |
| Total Posts: 5207 |
| Joined: Mar 2004 |
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| I personally find the writing style (therein and historically) halting, floral, and taxing; it is emblematic or a certain style (school). RR can also be that way, but in a less francocentric manner. Of course a bit from the ruler of Platitudistan doesn't help. |
Nonius is Satoshi Nakamoto. 物の哀れ |
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Graeme
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Ito33 used to be quite a serious thing. I'm talking circa 2004 here. There is a pair of papers by Ayache, Forsythe and Vetzal on convertible bonds which are stellar. At some point inbetween the site seems to have got a bit like a loopy religous cult homepage, avec fromage.
The writing style seems to be already evident in "Can Anybody Solve the Smile Problem", fromage supplémentaire.
As Chiral says, anything with an endorsement from NT is immediately on the blacklist. |
Graeme West |
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Baltazar
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| Joined: Jul 2004 |
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FWIW I like the idea of calibrating the option pricer to varswaps, cds and you name it that they advocated.
I don't know how practical their pricer was but i've always been curious to look under the hood.
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Qui fait le malin tombe dans le ravin |
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dgn2
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| Joined: May 2004 |
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| I bought the book because I found some of Elie Ayache's papers compelling. I probably haven't read anything of his since the early 2000s though...until this book. |
...WARNING: I am an optimal f'er |
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Scotty
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| Total Posts: 727 |
| Joined: Jun 2004 |
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I got the book because I also liked the Ito33 work.
It won't be what you expect. It is quant meets Nietzsche. If you've read "Thus Spake Zarathustra" you'll know what I mean. |
“Whatever you do, or dream you can, begin it. Boldness has genius and power and magic in it.” |
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filthy
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| Total Posts: 1264 |
| Joined: Jun 2004 |
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| i'm not even sure that it isn't a sokal type joke. |
"Game's the same, just got more fierce" |
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Kutilya
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| Quote Machine |
| Total Posts: 1293 |
| Joined: Jun 2004 |
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thanks for the heads up guys.
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Splitting tens.
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| What this book is is a Sokal joke turned against Sokal; so it is a very serious book. Trust me. |
BSM is not a model and, because it is not a model, no model can surpass it. |
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pj
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| Total Posts: 3604 |
| Joined: Jun 2004 |
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> Trust me.
also sprach... Ayache |
вакансия "Программист Психологической службы"
-але! у нас ошибко! не работает бля-бля-бля
-вы хотите об этом поговорить? |
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Scotty
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| Total Posts: 727 |
| Joined: Jun 2004 |
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| Genau! |
“Whatever you do, or dream you can, begin it. Boldness has genius and power and magic in it.” |
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A few links to reviews of the book for those who are seriously interested, or really want to start thinking the way I do (it is still a small circle today):
NY Times
The Hindu
And a podcast:
Podcast |
BSM is not a model and, because it is not a model, no model can surpass it. |
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Cheng
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| Total Posts: 2870 |
| Joined: Feb 2005 |
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"Who are you?"
"The new number two."
"Who is number one?"
"You are number six."
"I am not a number, I am a free man."
Sorry, I couldn't resist... |
"Inter Deum Et Diabolum Semper Musica Est" |
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| I agree. My main thesis is that price is not a number. |
BSM is not a model and, because it is not a model, no model can surpass it. |
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Cheng
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| But... ? |
"Inter Deum Et Diabolum Semper Musica Est" |
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The world starts admitting of numbers when we distinguish and list the possibilities. We attach '1' to the undivided reality as soon as we distinguish (or think we can distinguish) the different possibilities that it could have been, to which we attach '0'.
Since the real world cannot coexist with the different possibilities that it could have been, we artificially recede to a past time when the real world and the artificial possibilities are on the same footing, simply as possibilities. This is how probability is invented. It falls between 0 and 1, and to this extent, it is a number.
Alternatively, imagine that the real world could have been different, without indulging in the fiction of identifying the different possibilities. Reality is massive and undivided and undistinguishable (in this sense, it is "unpredictable"), yet it could be otherwise. It is not that we don't know what other possibilities it could be; my argument is ontological, not epistemological; it is even logical.
I argue that the way to express the contingency of the world without the intermediation of possibility (and probability) is the writing of contingent claims. The payoff of the contingent claim is written over it. It is real and it is material. It is not a future abstraction or projection. Likewise, the price it receives in the market is real and material. It was not propagated in a tree of possibilities. It was not computed through probability.
Insofar as price is alternative to probability and written contingent claims are alternative to fictitious possibilities (or states of the world), and insofar as probability is a number (i.e. abstract), price is alternative to a number, therefore is not a number.
Read the following for the details of the metaphysical twist:
Attached File: Medium of contingency.pdf |
BSM is not a model and, because it is not a model, no model can surpass it. |
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pj
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| Total Posts: 3604 |
| Joined: Jun 2004 |
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You should be sorry that you even asked, Cheng  |
вакансия "Программист Психологической службы"
-але! у нас ошибко! не работает бля-бля-бля
-вы хотите об этом поговорить? |
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I think you are the only one who is sorry, pj. |
BSM is not a model and, because it is not a model, no model can surpass it. |
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Cheng
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| Total Posts: 2870 |
| Joined: Feb 2005 |
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Pj, I'm not sorry  . My past understanding of numbers was that a number like 1, 2, ... is just a convenient shortcut for some set theoretic construction. Actually, it is not 2, but 2:=1+1, also for convenience.
I was just about making a remark about epistemology but obviously numbersix anticipated that. At least something to grind the brain on and to reduce the set of unknown knowns. |
"Inter Deum Et Diabolum Semper Musica Est" |
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| Thanks. |
BSM is not a model and, because it is not a model, no model can surpass it. |
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Dimatrix
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| Total Posts: 539 |
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Alternatively, imagine that the real world could have been different, without indulging in the fiction of identifying the different possibilities. Reality is massive and undivided and undistinguishable (in this sense, it is "unpredictable"), yet it could be otherwise. It is not that we don't know what other possibilities it could be; my argument is ontological, not epistemological; it is even logical.
Are the 500 pages written in the same style?
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Ctrl - L. |
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Scotty
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| Total Posts: 727 |
| Joined: Jun 2004 |
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Yes. Nietzschian-style.
(Note, I think the content may be substantive, but it is not that easy to confirm) |
“Whatever you do, or dream you can, begin it. Boldness has genius and power and magic in it.” |
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