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The Actuary The magazine of the Institute & Faculty of Actuaries
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Eight-and-a-half months in mathematical finance

The interesting and nice article inthe May issue, ‘Hunters and gatherers’by Phil Joubert, neverthelesshas some features which made mewonder. For instance, mentioningthat variance of sum of two normalrandom variables is less thansum of variances. Actually, not.

And why mention normal variables, speaking about put prices? Put prices are not normal (of course, the author must know this, because he speaks about implicit volatilities, which come from the Black–Scholes model). Here is some cognitive dissonance.

The story of competitive advantage of tribes of hunters and gatherers also is slightly doubtful. It would seem natural for a big fund manager to their have own derivatives desk, with specialists in mathematical finance.