Did you have an interest in options pricing? Wednesday 24th January 2018

Thomas and I met at Berkeley in finance class. It was a two year MBA program, which included bicycle rides, talking about finance and investing. We also went snowboarding; one of the very few things I did better than Thomas.

Like him I was fascinated by options pricing – I did a number of models, looking into analyzing sensitivities to better capture trading value. Black Scholes is an elegant, closed mathematical formula describing everything, which is rare. To understand reality this is helpful, but quite theoretical. The model only works under certain assumptions. But it is more sensitive to some parameters than others. When I was studying, in 1992-3, we had no serious money riding on it. But how the product behaved, how you could use it to hedge asset price fluctuations, or build trading strategies interested me.

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