Black-Scholes

[from Wikipedia] The Black–Scholes model (pronounced /ˌblæk ˈʃoʊlz/) or Black–Scholes-Merton is a mathematical model of a financial market containing certain derivative investment instruments. From the model, one can deduce the Black–Scholes formula, which gives the price of European-style options. The formula led to a boom in options trading and the creation of theChicago Board Options Exchange. lt is widely used by options market participants. Many … Continue reading

Random fractals and the stock market

Random Fractals and the Stock Market Fractals appear in the world both as objects and as time records of processes. Practically every example observed involves what appears to be some element of randomness, perhaps due to the interactions of very many small parts of the process. Think of the complicated interaction of hydrodynamical and geological … Continue reading

Market chaologists…

[from http://www.amazon.com/Fractal-Market-Analysis-Investment-Economics/dp/0471585246] Chaos theory is a branch of mathematics that, despite its name, attempts to make order out of seemingly random events and that has found application in the natural sciences. Market chaologists, as they have come to be known, have marshaled an array of formulas and computer models but have been criticized for not being … Continue reading

They Tried to Outsmart Wall Street (NY Times)

[from The New York Times] Emanuel Derman expected to feel a letdown when he left particle physics for a job on Wall Street in 1985. After all, for almost 20 years, as a graduate student at Columbia and a postdoctoral fellow at institutions like Oxford and the University of Colorado, he had been a spear carrier … Continue reading