December 7, 2024
Mathematical Finance has made Nobel Prize winning advances since the 1950’s, but there is more to do.
Markowitz
Black-Merton Scholes
Stephen Ross
Linzberger …
Continuous time.
Implicit assumptions. Optimization. Self-financing.
Lack of knobs.
Bid-ask spread.
Entities.
Dynamic hedging and cash flows.
Clear trajectory.
Monte Carlo simulation.
Realtime analytics.
Pivot tables. Reporting.