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Recent content by Aaron Brown

  1. Aaron Brown

    What Do Financial Engineers Do?

    "Engineering is not merely knowing and being knowledgeable, like a walking encyclopedia; engineering is not merely analysis; engineering is not merely the possession of the capacity to get elegant solutions to nonexistent engineering problems; engineering is practicing the art of the organized...
  2. Aaron Brown

    How to pick an MFE program

    From Amsterdam to Zurich you can attend financial engineering masters programs in all the financial centers in the world, or places off the financial beaten path such as Bethlehem, Coimbra, Potchefstroom or Stillwater. You can be taught by some of the great names in academic quantitative...
  3. Aaron Brown

    Five ways to improve quantitative finance curricula

    I meant "rigorous" in the sense of deep questioning of assumptions and insistence on logical consistency. There are rigorous physicists, but most of physics—and all of engineering and applied mathematics—is about getting the answer right. Pure mathematics and philosophy are more rigorous fields...
  4. Aaron Brown

    Five ways to improve quantitative finance curricula

    Two of the best things about writing a book are the people you meet and the things you learn when you send drafts around for comments. My new book, Red-Blooded Risk: The Secret History of Wall Street, was no exception. I expected to get the most controversy over the historical material about how...
  5. Aaron Brown

    Poker Bots Invade Online Gambling

    I'm surprised that so few people on a quant forum have tried to write poker bots. First off, the serious AI and game theory reserach done at Alberta and CMU has nothing to do with successful on-line poker bots. Simple statistical algorithms work just fine, as is true with quant investing as...
  6. Aaron Brown

    Do Quants Destroy?

    In his new book, Scott Patterson argues that quantitative risk managers nearly destroyed Wall Street in a series of disasters going back to 1987. But that is far from the whole truth. The quant revolution in academic finance began about 60 years ago, and it came to Wall Street in force about 30...
  7. Aaron Brown

    Naked CDS and Buying Fire Insurance on Your Neighbor's House

    Remember in Hamlet when King Claudius discovers Laertes has been buying naked CDS protection on Danish government bonds? Polonius, the royal treasurer, fears it will increase funding costs and bring on a fiscal crisis. The king laughs off the threat with the famous line, “There's such divinity...
  8. Aaron Brown

    Risk versus Portfolio Management

    Unlike most fields, modern financial risk management can be traced back to a specific time and place, and a relatively small group of people. Some quants in New York City, between 1987 and 1993, codified knowledge from a variety of fields, thrashed out disagreements and created the basic...