Bayesian Risk Management

Acknowledgments

It is hard to express my gratitude to Nick Polson adequately. Certainly, this book would not exist without him. His intellectual fingerprints are all over it, and I hope I have proven myself a worthy student. More than any lecture or guidance in the thicket of the statistical literature, the many hours spent with Nick (more often than not, over burgers at Medici on 57th in Hyde Park) thinking through the ways in which people attempt to learn about financial markets from data helped me not only to grasp the Bayesian manner of thinking about probability but also to gain the confidence necessary to test it against the prevailing orthodoxy. His intuitive way of proceeding and his fantastic sense of humor also made it great fun to set off in an exciting new field. For all I have absorbed from him, I am still overwhelmed by the many brilliant new directions of his thinking, and will have much to learn from him for many years to come.

This book also bears traces of many years working with Steve Hanke, first as his research assistant and as an ongoing collaborator in writing and consulting. Professor Hanke first introduced me to the importance of time and uncertainty in economic analysis by encouraging me to read the Austrians, and especially Hayek. These pages are part of an ongoing process of coming to grips with the wealth of ideas to which Professor Hanke exposed me. Professor Hanke has also supported my writing efforts from the very beginning and continues to be a ...