Nassim recently posted a document called “Skepticism” on Facebook.

He had this to say about it:

Something people don’t get: more skepticism about climate models should lead to more “green” ecological conservationist policies not more lax pro-pollution ones. Why? Simply, uncertainty about the models increases fragility (and thickens the left tail), no matter what the benefits can be in the right tail. Added the section to the precautionary principle. Please discuss but stick to rigor and avoid buzzwords. (Also do not think that the idea is falling from the sky: it is a mere

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Nassim Posts Document on Skepticism and How Uncertainty Should Actually Lead to More Conservationism

Posted on

September 5th, 2014

Category

Writing

Nassim Taleb is starting the new academic year with a new role. Along with Charles Tapiero, Taleb will be co-director of the  EXTREME RISK INITIATIVE, which is expected to develop into an Extreme Risk Institute within the NYU School of Engineering. Here is the official description from his Facebook Page:

In spite of the importance of extreme/hidden risks, there has not been a rigorous methodology to deal with them; statistical or mathematical approaches have not been formally reconciled with real-world decision-making the way engineering has traditionally integrated mathematics and real world heuristics. Extreme

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Taleb Co-Founder and Co-Director of EXTREME RISK INITIATIVE

Posted on

August 19th, 2014

Category

Academic

nassim-taleb-sins-to-remember

Nassim Taleb recently tweeted this photo of an index card that outlines “sins to remember.” And presumably avoid.

Taleb’s “Sins to Remember”

Posted on

August 14th, 2014

Category

General

 

Abstract: Proof that under constraints of Put-Call Parity, the probability measure for the valuation of a European option is risk neutral under any general probability distribution, bypassing the Black-Scholes-Merton dynamic hedging argument, and without the requirement of complete markets. The heuristics used by traders for centuries are both more robust and more rigorous than held in the economics literature.

http://www.fooledbyrandomness.com/OptionPricing.pdf

Risk Neutral Option Pricing Without Dynamic Hedging, A Measure-Theoretic Proof

Posted on

March 28th, 2014

Category

Academic, General, Links