Rent 9780470725221 | The Blank Swan The End of Probability

Summary Table of Contents Author Biography

October 19 th 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 19 th October 1987 is... MORE

Introduction.

PART I WRITING AND EVENT.

1 Writer of The BLANK Swan.

1.1 Prediction versus Prescription.

1.2 Generalizing Prediction.

1.3 The Derivatives Market.

2 The Writing of Derivatives.

2.1 First Steps on the Surface.

2.2 Introducing Contingency.

2.3 The Pricing Surface.

3 The Event of the Market.

3.1 From States of the World to Market Prices.

3.2 The Black–Scholes–Merton Paradigm.

3.3 The Critique of Derivative Pricing Theory.

3.4 The Necessity of Meta-Contextual A... MOREscent.

4 Writing and the Market.

4.1 Pierre Menard.

4.2 Reading and Writing.

4.3 Approaching the Market.

PART II ABSOLUTE CONTINGENCY AND THE RETURN OF SPECULATION.

5 The Necessity of Contingency.

5.1 Against Speculation.

5.2 Speculative Materialism.

6 Passage to the Future.

6.1 From Possibility to Inexistence.

6.2 The Passage.

6.3 The Future 156

7 Necessity of the Future.

7.1 A Model World.

7.2 The Implied Absolute.

8 Necessity of Writing.

8.1 Radical Speculation.

8.2 The Pricing Alternative.

8.3 From the Market to Work.

PART III FLIGHT TO SYDNEY, OR THE GENESIS OF THE BOOK.

9 The Mathematics of Price.

9.1 The Absolute without Thought.

9.2 The Absolute within Thought.

10 Barton Fink.

10.1 The Pledge.

10.2 The Turn.

11 The Narrative Adventure.

11.1 The Line of Flight.

11.2 The POINT of the World.

12 Out of the Box.

12.1 The Purple Gastropod.

12.2 The Point of Return, the Point of Inversion.

2.3 How to be a Writer.

13 The Prestige.

13.1 Finding the Market, Binding the Book.

13.2 Absolute Deterritorialization.

14 The Geographical Process.

14.1 The Field of Ruins.

14.2 Landing on the Market.

PART IV CONVERSION OF CREDIT INTO EQUITY, OR THE GENESIS OF THE MARKET.

15 History of the Market.

15.1 The Conversion.

15.2 Possibility versus Contingency.

15.3 The Market.

16 From Debt to Equity.

16.1 Deduction of the Contingent Claim.

16.2 Deduction of the Exchange.

16.3 Deduction of Price.

17 The Market and the Philosophy of Difference.

17.1 The Pit of Price.

17.2 The Market and Time.

17.3 The Market and Difference.

18 Future of the Market.

18.1 The Category of Price.

18.2 The Step Beyond.

18.3 Place and Contingency.

18.4 Conclusion.

19 Appendix 1 The Logic and Mathematics of Regime Switching.

A1.1 Description of the Regime-Switching Model.

A1.2 General Backward Equations.

A1.3 Credit Default Swaps.

A1.4 Calibration.

A1.5 Recalibration.

20 Appendix 2 From 'Being and Time' to 'Being and Place' with Jeff Malpas.

Bibliography.

Index.

Elie Ayache was born in Lebanon in 1966. Trained as an engineer at l��cole Polytechnique of Paris, he pursued a career of option market-maker on the floor of MATIF (1987-1990) and LiFFE (1990-1995). He then turned to the philosophy of probability (DEA at la Sorbonne) and to derivative pricing, and co-founded of ITO 33, a financial software company, in 1999. Today, ITO 33 is the leading specialist in the pricing of convertible bonds, in the equity-to-credit problem, and more generally, in the calibration and recalibration of volatility surfaces. Elie has published many articles in the philosophy of contingent claims, as well as a book, dedicated to the philosophy of writing.

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The Blank Swan The End of Probability

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