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The Blank Swan

The End of Probability

Wiley, J,
E-Book ( PDF mit Adobe DRM )
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October 19th 1987 was a day of huge change for theglobal finance industry. On this day the stock market crashed, theNobel Prize winning Black-Scholes formula failed and volatilitysmiles were born, and on this day Elie Ayache began his career, onthe trading floor of the French Futures and Options Exchange.
Experts everywhere sought to find a model for this event, andways to simulate it in order to avoid a recurrence in the future,but the one thing that struck Elie that day was the belief thatwhat actually happened on 19th October 1987 is simplynon reproducible outside 19th October 1987 - youcannot reduce it to a chain of causes and effects, or even to arandom generator, that can then be reproduced or represented in atheoretical framework.
The Blank Swan is Elie's highly original treatise on thefinancial markets - presenting a totally revolutionaryrethinking of derivative pricing and technology. It is not adiatribe against Nassim Taleb's The Black Swan, butcriticises the whole background or framework of predictable andunpredictable events - white and black swans alike -, i.e.the very category of prediction.
In this revolutionary book, Elie redefines the components of thetechnology needed to price and trade derivatives. Most importantly,and drawing on a long tradition of philosophy of the event fromHenri Bergson to Gilles Deleuze, to Alain Badiou, and on a recentbrand of philosophy of contingency, embodied by the speculativematerialism of Quentin Meillassoux, Elie redefines the marketitself against the common perceptions of orthodox financial theory,general equilibrium theory and the sociology of finance.
This book will change the way that we think about derivativesand approach the market. If anything derivatives should be renamedcontingent claims, where contingency is now absolute and nolonger derivative, and the market is just its medium. The book alsoestablishes the missing link between quantitative modelling (nolonger dependent on probability theory but on a novel brand ofmathematics which Elie calls the mathematics of price) andthe reality of the market.


Titel: The Blank Swan
Autoren/Herausgeber: Elie Ayache
Ausgabe: 1. Auflage

ISBN/EAN: 9780470660126

Seitenzahl: 496
Produktform: E-Book
Sprache: Englisch

Elie Ayache was born in Lebanon in 1966. Trained as an engineer at l'École Polytechnique of Paris, he pursued a career of option market-maker on the floor of MATIF (1987-1990) and LiFFE (1990-1995). He then turned to the philosophy of probability (DEA at la Sorbonne) and to derivative pricing, and co-founded of ITO 33, a financial software company, in 1999. Today, ITO 33 is the leading specialist in the pricing of convertible bonds, in the equity-to-credit problem, and more generally, in the calibration and recalibration of volatility surfaces. Elie has published many articles in the philosophy of contingent claims, as well as a book, dedicated to the philosophy of writing.

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