Derivatives Models on Models

Nassim Taleb on Black Swans

The first time I heard about Nassim Nicholas Taleb was when, as an option trader, I came across his very interesting book on option trading, “Dynamic Hedging”. A few years later I moved to the USA to work for a Hedge Fund in Greenwich, Connecticut. On one of my first days at work I walked over to the coffee room. In order to get up to speed in a new trading job and get rid of my jet lag I needed that caffeine.

There in the coffee room I met someone who looked familiar. It was Nassim Taleb. I recognized him from the photo in his book “Dynamic Hedging”. He also recognized me from my book “The Complete Guide to Option Pricing Formulas”. I called him Taleb, but he told me to call him Nassim. Nassim was running his own trading firm in the same building, but we shared the coffee room.

Over the next three years or so I met Nassim frequently, he was happy to share his knowledge and loved to get involved in discussions on tail events, advanced option trading and phenomena outside the traditional mainframe of finance. Nassim Taleb was a original thinker, a tail event himself specializing in tail events. He was also not afraid of sharing his knowledge, probably because he knew that human nature and the bonus system in most Wall Street firms would make most traders ignore his ideas anyway. I went skiing a few times with Nassim. Nassim was a great skier and we always did the double black diamonds, something I will come back to in the end of the interview.

Nassim ...