Research. Reviews. Ideas. Built for investment professionals.

quantative methods

Nobel Laureate Myron Scholes on the Black–Scholes Option Pricing Model

This is the first part of a two-part interview with Nobel Laureate Myron Scholes. In this installment, Scholes shared his perspectives on the Black-Scholes option pricing model, from the motivation and intuition of the original formula to the myriad of extensions.

Nobel Laureate Robert Engle on High-Frequency Trading and Portfolio Management

In the second part of our interview with Nobel laureate Robert Engle, he discusses the application of ARCH models in high-frequency trading and how he thinks risk models should be applied in portfolio management.

Book Review: The Manual of Ideas: The Proven Framework for Finding the Best Value Investments

This book provides an overview of nine value investing strategies, including why each one is expected to work, the uses and misuses of each, and how to identify specific investment opportunities for each strategy. It is useful for both beginning and experienced value investors.

Book Review: Models.Behaving.Badly

Emanuel Derman spent two decades at Goldman Sachs, making valuable contributions to financial modeling. Before that, as recounted in My Life as a Quant (John Wiley & Sons, 2004), he was a physicist. Today, Derman is the head of risk management at Prisma Capital Partners and directs Columbia University’s financial engineering program. He also devotes energy to combating the belief that security markets can be analyzed with the same mathematical precision as heavenly bodies and subatomic particles.