YouSaid · the spoken record

Paul Wilmott

lines on the record: 84
first: 2017-10-13
most recent: 2017-10-13
sittings or episodes: 1
sources: podcast

Every line below is reproduced as it was said and linked to the record it came from. Nothing here is summarised or generated. Directory · Search · Corrections

“For each note, the trombone When At schools in the UK, at least traditionally you would learn the recorder, you know, three very nice things.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“Nothing Live ukulele performance. Oh, you'd be surprised. I would be surprised. It is the instrument, all the schools are taking up ukulele because it's on.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“You should hedge that bet because I don't see that happening. No, no, I'm pretty good. I'm getting that. I'm getting that. No, it's.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“Yeah, I don't think of it like that. No. It just sort of is something in my DNA that says, you know, for example, I started to learn the ukulele a few years ago. And I just know sometime in my life there will be a time when I'm on a stage and people are paying money to listen to me play the ukulele.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“Do something which is fun, and then I accidentally, or I always have this urge to turn things into businesses. It's not a greed thing. It's an enthusiasm thing. It's almost like I've got some hobby I'd like to make it public. It becomes more like...”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“That was a quote from Esquire magazine, so I just like to repeat that. It's not very useful in marketing, though. There was until recently, well, there still is the certificate in quantitative finance that is the world's largest high-level quantum education with a company called Seven City. This CQF was founded with a company called Seven City Learning in 2003, was it? But it was sold up to Fitch about three or four years ago. But what is the business model? The business model, well, my whole business model all my life has been...”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“Well, the Paul and Dominix doesn't exist anymore. That closed down a few. But also there was the, we talked about the world's largest Quank website. It's also apparently the world's most expensive magazine.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“Well, I learned a lot from that hedge fund. A lot of things about not just about hedge funds, but also about myself. Oh, really? I found that very interesting. The hedge fund was based in New York. And where were you located? I was located in London. So there was this five-hour time difference. And just as things were getting interesting in New York was when I was sitting down to dinner or wanting to go to bed or something like that. So that was kind of frustrating.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“There must be half a dozen papers. And surely that's the most important thing. You've got an option. The question is, what am I going to do with this? I could hedge with it or I could make money from it. And they're just half a dozen papers on how to make money.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“Chicago finance professor looks at things is in a very pure way that sort of misses all the fun. And as I said before, I've been running businesses since I was a child virtually. And the business side of things is what makes things interesting. And so when we approach this, going back to volatility arbitrage, You'd be amazed at if you looked at the literature, there must be tens of thousands of papers which talk about how to back out from market prices what the implied volatility is and how they assume that the implied volatility is right, that the market knows the market has a crystal ball, it knows what volatility is going to be. Must be tens of thousands. How many papers are there which say, well, you know what? What if the market is wrong?”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“And of course, they're missing out from that 5%, the fact that the insurance company needs to make a profit and they're doing things on average. All sorts of things. So the way your typical quantity...”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“An example I sometimes give my students is about uses the idea of car insurance. For example, suppose you've got a $20,000 car and your annual car insurance is simple numbers $1,000. A quant would say, oh, it's a $20,000 car, it's $1,000 car insurance. That means there must be a 5% chance of crashing.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“Not necessarily, it depends whether there's any mechanism for removing any efficiency. People just say, oh, people say things like the market's always right.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“Not so efficient, not so efficient. I don't think anyone believes in fish and markets who's listening to this program, do they?”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“It's the purest sort of volatility arbitrage. I'm betting my forecasts against the market's forecasts, essentially is what it amounts to.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“Find the noise, yes, I can see that, but at the same time, you can see what the market is sort of thinking volatility is because options, the valuation of options, hinges upon estimation of volatility. So you can say, oh, here's a call option. What volatility are they plugging into the famous black shoals formula to give that price that you see in the market? And so you can back out a thing called implied volatility, which is sort of a bit like what the market thinks. So you look around for when is the implied volatility different or sufficiently different from your forecast volatility? And if they're different, and if you just happen to be right, then you can make some money. So sounds complicated.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“It's interesting that it's very difficult, I find, to predict the direction a stock is going to go up or down It seems to be easier, and there are statistical reasons for this actually, but it seems to be easier to forecast volatility. How much noise there is in a stock?”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“You're very good with your numbers. The idea of the Tobin tax is to stop very high frequency trading because the high frequency, the problem with one of the problems with high frequency trading is that you lose the connection between the value of a share company and the price. It just becomes about these. Some time series of numbers, and it could be anything. It doesn't matter, but there's a company here, and there are people whose jobs are on the line.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“We're all good. Which side is the heart on? That sort of thing, then there'll be lawsuits flying. But bankers, in my experience, there's a lot of herd mentality. Within bankers, and that works for them. That's how they make money is from. Pretending there are no risks, and although they may deep down, they may realize there are risks. And regulators, I haven't met that many regulators. I don't seem to bump into them very often, maybe because of the things I've said about them in the past.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“Right, well, it's certainly true in my experience that bankers and especially regulators, I have to say, do not know as much as they ought to. If they were doctors and they didn't know some leaches.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“Right. I don't know. I don't know. I think in all of this a key thing you've always got to remember is the psychology of the markets and whatever the mathematical models say, somehow human beings in this particular field do try to To manage to mess up the models”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“Rather as an investment, there are some things you can do, of course, the famous portfolio, dynamic portfolio insurance of the 80s was a classic example of a feedback effect, a positive feedback effect that the very action of trying to protect your portfolio is what caused it worse, which is a beautiful concept.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“I'm sure there are some things you can do. There are all sorts of nuances here. I remember Nassim, my dear pal, Nassim Tal telling me about the way he pitches this idea, and that is to say it's insurance. It's not a portfolio, it's not an investment, it's insurance. You're going to lose money. In fact, you hope you'll lose money because if you make money on this insurance, it's because your house is burnt down, which you don't want to have happen. So that's a psychological way of looking at this, putting in place the protection as a cost.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“Require new mathematics, so you have this snowballing effect where you've got the mathematics increasing and the number and type of products simultaneously increasing.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“King's famous beauty. Exactly. So you move on to fundamental, sorry, move on from fundamental to technical analysis, which is the exact opposite, which is really easy. You draw a chart, do some trend lines and some patterns. The problem is that sort of thing, statistically speaking, doesn't work. The scientific evidence suggested the vast majority of that doesn't work. So the great breakthrough of the 50s, 60s, 70s was to say, let's throw all that away. Let's just say we can't predict things. We've got the concept of the efficient market hypothesis as a background for this, but let's just say it's like tossing a coin. Now, is it a tossing a biased coin? What's the chance of heads? What's the chance of tails? So you put numbers to these probabilities. From that, we get lots of theories about derivatives valuation. And once you've got derivatives, you can value derivatives, you can create new instruments, and the new instruments...”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“Well, if you go back to the different types of analysis that people do in finance, you've got fundamental analysis, which is about trying to figure out by looking at the company's reports and the directors, et cetera, their products. How much is this company really worth? Now, that's very difficult to do. That's a lot of analysis is required. I mean, can you read balance sheets? I can't read balance sheets. Now, without falling asleep halfway through. Exactly, exactly. But the real problem is that you're not trying to predict what the market value of a company should be.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“Well, I think what you start to see is going from just people's personal experience through to trying to lay down some principles and then trying to quantify those principles. So we're up to the period now, the modern era, pretty much everything in finance is all quantified, everything's all in terms of expected returns and volatility and quantities like that.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“A colleague introduced me to these things called options. This was in the, it was actually just before the 87 crash. And just looking into the literature, I found, hey, there's real mathematics involved in derivatives. And so I started just to apply the same principles of mathematical modeling to derivatives as I had to all these other real world physical processes that I'd worked on. Actually, when I first saw the famous black shoals equation, I thought, this is great. This is just like second year undergraduate mathematics. These days, apparently you're supposed to have a PhD, but actually that's a load of nonsense. Most quantum finance is just second year undergraduate maths.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“Well, you have to go back to my childhood, really. I've always, from a very young age, run my own businesses of various sizes. Even when I was a mathematician at university doing my doctorate or doing postdoctoral work, I was always interacting with the real world, trying to do consultancy, etc. And it meant that I saw a lot of different problems from fields outside of finance. In fact, when I started in finance in the late 80s, before that, I didn't even know there was any mathematics in finance, but I'd work for aeronautical companies, for steel companies, for all sorts of different businesses where you try and take a physical problem and turn it into something mathematical.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“Exactly. So, you'd hope that when we talk about having a model that's useful, you'd like to think in terms of, oh, it allows us to manage our risk or hedge our risk, something like that, or produce Important new products that are helpful in hedging your business or whatever. But I'm a bit too cynical to think of.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“You can perfectly understand what's happening. Not told. And as for the word useful, I think you have to ask what is meant by useful and the various ways of looking at this. Useful, are they useful in helping you control risk? Are they helpful in allowing you to do more business? There are all sorts of different angles. And some of these are conflict with what the man in the street might want. For example, a model might be useful because it's great for marketing and it fools the regulators and it's not very good, but hey, it's useful if you're to try and start a really big hedge fund.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“Yes, and that's because of my background. I haven't taken the classical quant root and I come with a lot of skepticism and I'm not a great fan of following the herd. So whenever I look at mathematical models, I can pretty much tell you whether based on any reality or maybe whether there's any dangers involved with the hedging or the valuation. And everywhere I looked, I just saw there were dangers. It was the models for equities are not too bad in quantitative finance. The models for interest rates are pretty bad except interest rates don't really do muchly not the moment anyway. But credit, the models are not only the models really, really bad in terms of not matching reality and how they're used, but also credit markets are absolutely enormous.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“Well, I also, a few years after that, I wrote that, I did specify that I thought it was going to be credit derivatives that might be the problem.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source
“Hi, it's a pleasure to be here. I have to correct you. Okay. Already I have to correct you. I'm not and never have been a professor. I'm a mere doctor, I'm afraid.”
2017-10-13 · Masters in Business · Paul Wilmott Has Some Feelings About Quantitative Models · IDENTIFIED FROM THE TRANSCRIPT · source