Unreal Blog

Here is an article defending (to some extent) the insane salary expectations of the elite bankers and traders. And quants. This piece will appear in my regular column in Wilmott Magazine.

Read the rest of "In Our Defense"

Economists have too many hands. On the one hand, they may declare something good. On the other hand, they may say, “well, not so much.” Some of them may have even a third or fourth hand. My ex-boss, an economist himself, once remarked that he wished he could chop off some of these hands. [...]

Read the rest of "Food Prices and Terrible Choices"

This concluding part of the philosophy of money (to appear as a column in the May issue of the Wilmott Magazine) shares my private disappointment that whatever I wrote up may not have been as original as I expected it to be. But the concept of money has been around for a long time now, so I should not dwell on it too much.

Read the rest of "Philosophy of Money – IV"

Having looked at the how of money in the last post, here is the why of money in this third post in the my mini-series. Why do we want it so bad?

Read the rest of "Philosophy of Money – III"

This second post of the mini series based on my upcoming column in the Wilmott Magazine looks at how people make money in a scalable fashion. It was posted earlier in this blog.

Read the rest of "Philosophy of Money – II"

Here is another mini series of posts based on an upcoming column of mine in the Wilmott Magazine to appear in their May issue. I have posted similar ideas here before, but this series will put them together, hopefully as a cohesive whole. This first post of the series looks at the unphysical nature of money.

Read the rest of "Philosophy of Money – I"

A review of my forthcoming book, “Principles of Quantitative Development,” to be published by John Wiley & Sons in Feb 2010. This review is written by Shayne Fletcher, Executive Director, Nomura, and author of “Financial Modelling in Python,” reproduced here with permission.

Read the rest of "Principles of Quantitative Development"

Switching from God, philosophy and other higher pursuits, here is a topic close to home. How do people make a lot of money? Can I do it too?

Read the rest of "How to Make Money"

Mathematical finance is built on a couple of assumptions. The most fundamental of them is the one on market efficiency. Is it wise to trust this assumption? Are there limits to it? Are we operating at the right scale to ignore the shakiness of the market efficiency assumption?

Read the rest of "Modeling the Models"

People tend to follow the money gradient. When a particular field is lucrative, more people tend to end up there. During the IT boom time of the previous decade, most of the talent flowed in there. Finance also has been a not-so-strange attractor for academics. Here is a look at the culture shock associated. Another excerpt from my upcoming column in the Wilmott Magazine.

Read the rest of "Group Dynamics"

This short piece is part of a column coming up in the Wilmott Magazine. Although summarily treated as a sort of curiosity, this idea may indeed blossom into a full-length book. For that reason, you will find more posts on related topics soon. For instance, why is it that hard work does not always equate to enhanced bank balance? Why do celebrities and entrepreneurs make so much more than normal employees? Want to know? Stay tuned…

Read the rest of "Philosophy of Money"

The last post in this series, this one exposes the extreme cases both in allowing and in denying bonuses, and their implications. Both the options imply our acceptance of certain economic idea. And, as with most things in life, it is not quite clear which is right, once you think long enough about it. A happy and stable middle ground is what we should seek and find.

Read the rest of "Bonus Plans of Mice and Men – VI"

If you generate profit, don’t you deserve a share of it? Profit generation and increasing shareholder value — these are the hallmarks of top talent in our capitalistic world view now. What is good for the shareholder is certainly good for the talent as well.

Read the rest of "Bonus Plans of Mice and Men – V"

Another common argument is that bonuses are necessary to retail the so-called “talent.” Are they?

Read the rest of "Bonus Plans of Mice and Men – IV"

If hard work does not entitle us to fat bonuses, perhaps our “talent” does? This is the third in the series of posts based on an upcoming column of mine in the Wilmott Magazine.

Read the rest of "Bonus Plans of Mice and Men – III"

The second in the series of posts based on an upcoming column of mine in the Wilmott Magazine, here is the common argument about hard work and the perceived entitlements.

Read the rest of "Bonus Plans of Mice and Men – II"

This is another series of posts based on an upcoming column of mine in the Wilmott Magazine. In this series, I will examine at the arguments for and against huge bonuses and golden parachutes. The first in the series, this post merely sets the stage for the next half a dozen. The starting point of this series is the public resignation letter by Jake DeSantis, ex-EVP at AIG, and his reasons for believing in the fairness of the huge bonus packages. And my arguments against them, with the personal suspicion that my views are perhaps more a case of sour grapes than of moral high horse.

Read the rest of "Bonus Plans of Mice and Men – I"

Time and money represent the basic conflict of work-life balance. Here is an unreal look at the old problem.

Read the rest of "How Much is Your Time Worth?"

How does a binomial tree pricing model look in a functional language? The last excerpt from my next column for the Wilmott Magazine (May 2009 iessu), this post may be a bit technical for those who are not practitioners in the field of quantitative finance.

Read the rest of "A New Kind of Binomial Tree"

Another excerpt from my next column in a quantitative finance magazine, here is an explanation of why functional language looks interesting to a mathematician.

Read the rest of "Functional Programming"