Pricing the future
Posted: Wed Jun 27, 2018 5:12 am
Why I looked at this book
I've heard of the Black-Scholes equation, but I'm interested in finding more about it. How much is it related to the Gaussian model of risk, whose widespread use was blamed for the 2008 financial crisis, and of which Henri Poincaré had given his 'Panurge's sheep' warning a century before in 1908? And in 1998 the Long-Term Capital Portfolio hedge fund, which used the Black-Scholes model, collapsed. Did complicated mathematics hide the flaws in the model? I hope that this book will explain what went wrong.