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 risks require both more mathematical

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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

Nov. 14 (Bloomberg) — Nassim Nicholas Taleb, a professor at New York University and author of “The Black Swan” and “Antifragile: Things That Gain From Disorder,” talks about risks created by government debt and Federal Reserve monetary policy. He speaks with John Dawson on Bloomberg Television’s “First Up” on the sidelines of Barclays Asia Forum in Hong Kong. (Source: Bloomberg)

Nassim Taleb interview with John Dawson on Bloomberg TV’s First Up for Barclays Asia Forum in Hong Kong

Posted on

November 19th, 2013

The Skin In The Game Heuristic for Protection Against Tail Events

Constantine Sandis Oxford Brooks

Nassim Nicholas Taleb NYU-Poly; Université Paris I Panthéon-Sorbonne – Centre d’Economie de la Sorbonne (CES)

July 30, 2013

Abstract: Standard economic theory makes an allowance for the agency problem, but not the compounding of moral hazard in the presence of informational opacity, particularly in what concerns high-impact events in fat tailed domains. But the ancients did; so did many aspects of moral philosophy. We propose a global and morally mandatory heuristic that anyone involved in an action which can possibly generate harm for others, even

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SSRN: Constantine Sandis & Nassim Nicholas Taleb – The Skin In The Game Heuristic for Protection Against Tail Events

Posted on

September 12th, 2013

econ-talk-library-of-economics-and-liberty-nassim-talebNassim Taleb of NYU-Poly talks with EconTalk host Russ Roberts about his recent paper (with Constantine Sandis) on the morality and effectiveness of “skin in the game.” When decision makers have skin in the game–when they share in the costs and benefits of their decisions that might affect others–they are more likely to make prudent decisions than in cases where decision-makers can impose costs on others. Taleb sees skin in the game as not just a useful policy concept but a moral imperative. The conversation closes with some observations on the power

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EconTalk with Russ Roberts: Taleb on Skin in the Game

Posted on

September 9th, 2013