October 19th 1987 was a day of huge change for the global finance
industry. On this day the stock market crashed, the Nobel Prize
winning Black-Scholes formula failed and volatility smiles were
born, and on this day Elie Ayache began his career, on the trading
floor of the French Futures and Options Exchange.
Experts everywhere sought to find a model for this event, and
ways to simulate it in order to avoid a recurrence in the future,
but the one thing that struck Elie that day was the belief that
what actually happened on 19th October 1987 is simply non
reproducible outside 19th October 1987 - you cannot reduce it to a
chain of causes and effects, or even to a random generator, that
can then be reproduced or represented in a theoretical
framework.
"The Blank Swan" is Elie's highly original treatise on the
financial markets - presenting a totally revolutionary rethinking
of derivative pricing and technology. It is not a diatribe against
Nassim Taleb's "The Black Swan," but criticises the whole
background or framework of predictable and unpredictable events -
white and black swans alike -, i.e. the very category of
prediction.
In this revolutionary book, Elie redefines the components of the
technology needed to price and trade derivatives. Most importantly,
and drawing on a long tradition of philosophy of the event from
Henri Bergson to Gilles Deleuze, to Alain Badiou, and on a recent
brand of philosophy of contingency, embodied by the speculative
materialism of Quentin Meillassoux, Elie redefines the market
itself against the common perceptions of orthodox financial theory,
general equilibrium theory and the sociology of finance.
This book will change the way that we think about derivatives
and approach the market. If anything derivatives should be renamed
"contingent claims," where contingency is now absolute and no
longer derivative, and the market is just its medium. The book also
establishes the missing link between quantitative modelling (no
longer dependent on probability theory but on a novel brand of
mathematics which Elie calls the "mathematics of price") and the
reality of the market.
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