[j2d2]

Readers would also enjoy the story of LTCM.

http://en.wikipedia.org/wiki/Long-Term_Capital_Management

[chollida1]

Though they worked in bond arbitrage and didn't use Black Scholes:)

[steveplace]

They used options on bonds.

High leverage + quant statistical method + six sigma event = fun.

[j2d2]

Myron Scholes worked for them...