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by bdjsiqoocwk 846 days ago
What math chops does taleb have? The same ones as any options trader, as far as I can tell.
2 comments

On the options desk that I was a quant on[1] the traders were extremely dismissive of Taleb's math chops since in his book "Taleb on Risk: Managing Vanilla and Exotic Options" he clearly doesn't understand delta hedging, which is a pretty fundamental concept, particularly if you're writing a book about managing options risk.

[1] Equity Exotics and Hybrids at Goldman in London circa 2005 or so.

Ok, the guy is not some Fields medalist, so it depends what you mean by math chops, but here are a few of his papers published in respectable journals that have non negligible math content:

https://www.sciencedirect.com/science/article/abs/pii/S03784... (free at https://arxiv.org/pdf/1707.01370.pdf)

https://www.sciencedirect.com/science/article/abs/pii/S03784...

https://www.sciencedirect.com/science/article/abs/pii/S03784... (free at https://arxiv.org/pdf/1405.1791.pdf)

https://www.sciencedirect.com/science/article/abs/pii/S03784... (free at https://arxiv.org/pdf/1505.04722.pdf)

https://www.nature.com/articles/s41567-020-0921-x

There are plenty more btw, these were the ones that I could find in more prestigious journals.

if you follow him on Twitter you'll see that he also does quite a bit of recreational maths too.