Quant fantasy of the day, hip-hop edition

By Felix Salmon
May 4, 2009

Mike at Rortybomb might start by quoting Barry Eichengreen at length. But before long he’s going freestyle:

It’s like Fischer Black was Kool Herc and Myron Scholes was Afrika Bambaataa, and they’d all go plug in their computers into lamp posts and do martingale representations in the streets and at house parties. And, of course, it was all ruined in 1979 when it went commercial.

Which raises the highly important question: who’s the Grandmaster Flash of the quant world? And who’s Vanilla Ice?

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Comments
2 comments so far

Robert Merton is the Grandmaster Flash. In the same way that DJs no longer went back to trying to mark records on where to drop the needle but instead had to cue on a second turntable, quants no longer used the complicated CAPM derived proof and argument for the Black-Scholes equation, but instead the dynamic replication proof of Merton.

I think, though this is controversial, that Rubinstein’s Binomial Model is the Bomb Squad of the quant world. One takes the box off the beats and gets deep in, recording specifically for sampling, sampling for seconds, etc, in the same way one can math it up in a pinpoint matter with the discrete modeling of Black-Scholes.

Yes, I give that a lot of thought.

Yay!

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