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arXiv:1401.2524q-fin.GN

Four Points Beginner Risk Managers Should Learn from Jeff Holman's Mistakes in the Discussion of Antifragile

Nassim Nicholas Taleb

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Abstract

Using Jeff Holman's comments in Quantitative Finance to illustrate 4 critical errors students should learn to avoid: 1) Mistaking tails (4th moment) for volatility (2nd moment), 2) Missing Jensen's Inequality, 3) Analyzing the hedging wihout the underlying, 4) The necessity of a numeraire in finance.

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Subjects
q-fin.GNGeneral Finance q-fin.RMRisk Management

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  1. ‘Roaring Kitty’ Sued for Securities Fraud over GameStop Rise 1 comment

    • This paper talks about a strategy of buying OOTM options and the massive returns it would (occasionally) generate, and how to properly judge such a strategy. https://arxiv.org/pdf/1401.2524.pdf

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