aaron brown

  1. 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...
  2. Andy Nguyen

    Quant: A Dangerous Word Frequently Misused and Misunderstood

    Aaron Brown has a fascinating article on the usage of the word "quant". After reading this, you may have second thought about wanting to be called a "quant". Why It Matters Nevertheless, it is possible to prune away some incorrect senses, which come mainly from false etymologies, and to...
  3. Andy Nguyen

    How Wall Street Got Addicted to Light-Speed Trading

    Wired reporter Jerry Adler wrote a very well researched article on Wall Street high speed trading. It was originally scheduled for Wired's September issue but published in advance due to the 440M trading loss at Knight Capital Group. The author provides very interesting takes on the quants...
  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

    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...
  6. 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...
  7. 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...
Top