Comments on: Quant fantasy of the day, hip-hop edition http://blogs.reuters.com/felix-salmon/2009/05/04/quant-fantasy-of-the-day-hip-hop-edition/ A slice of lime in the soda Sun, 26 Oct 2014 19:05:02 +0000 hourly 1 http://wordpress.org/?v=4.2.5 By: TAN http://blogs.reuters.com/felix-salmon/2009/05/04/quant-fantasy-of-the-day-hip-hop-edition/comment-page-1/#comment-1229 Mon, 04 May 2009 22:45:14 +0000 http://blogs.reuters.com/felix-salmon/2009/05/04/quant-fantasy-of-the-day-hip-hop-edition/#comment-1229 Yay!

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By: Mike http://blogs.reuters.com/felix-salmon/2009/05/04/quant-fantasy-of-the-day-hip-hop-edition/comment-page-1/#comment-1172 Mon, 04 May 2009 07:23:23 +0000 http://blogs.reuters.com/felix-salmon/2009/05/04/quant-fantasy-of-the-day-hip-hop-edition/#comment-1172 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.

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