Unreal Blog

When philosophers look at anything, it becomes a bit technical. Their technical analysis may sound boring and irrelevant. Here is an attempt to tilt things in their favor.

Read the rest of "Half a Bucket of Water"

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"

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"

Another excerpt from my next column in the Wilmott magazine to appear in May 2009, this post takes a high level look at object oriented languages and introduces the concept of functional programming. The next two posts in this series may get a bit technical.

Read the rest of "Magic of Object Oriented Languages"

The power of paradigms in computing, and how it aids in the seemingly endless march of the Moore’s Law. An excerpt from my next column in the Wilmott magazine to appear in May 2009.

Read the rest of "Paradigms All the Way"

Ever marvel at the ability of computers to obey your wishes, while completely screwing up what you really wanted to do? Here is an insight into this computer mind, from a quantitative finance professional’s point of view. From my next column to appear in the Wilmott Magazine. This post is the first of a short series of posts on this subject.

Read the rest of "Zeros and Ones"

Ever wonder why those airfares are quick to climb, but slow to land? One word — hedging. Here is another excerpt from my next column to appear in the Wilmott Magazine.

Read the rest of "Hedging Dilemma"

Was corporate greed to blame for the financial debacle we are in? Perhaps. Here is an excerpt from my next column to appear in the Wilmott Magazine.

Read the rest of "Ambition vs. Greed"

This article, to appear in the Wilmott Magazine, discusses the issues involved in rolling out a pricing model as a deployed platform for trading. Although of more direct interest to the practitioners, this article may appeal to those who find the mysterious field of global markets intriguing.

[...] The financial industry keeps up with the developments in the computer industry for one simple reason. Stronger computers and smarter programs mean more money — a concept we readily grasp. As we use the latest and greatest in computer technology and pour money into it, we fuel further developments in the computing field. In other words, not only did we start the fire, we actively fan it as well. But it is not a bad fire; the positive feedback loop that we helped set up has served both the industries well. [...]

Read the rest of "Software Nightmares"