QuoteOriginally posted by: gianluca19QuoteOriginally posted by: GamalNicole El Karoui never been heard of in most maths departments?Are you sure you work in mathematical finance?there is a lot more to maths than mathematical finance.In the research centre I'm working in now I'm quite sure noone has ever heard of her.That means that your research centre and yourself are away from finance and you have no idea of current financial research. Am I right?

QuoteOriginally posted by: GamalQuoteOriginally posted by: gianluca19QuoteOriginally posted by: GamalNicole El Karoui never been heard of in most maths departments?Are you sure you work in mathematical finance?there is a lot more to maths than mathematical finance.In the research centre I'm working in now I'm quite sure noone has ever heard of her.That means that your research centre and yourself are away from finance and you have no idea of current financial research. Am I right?yes.weren't we talking about great mathematicians? comparing mathematical finance with finance is silly because they are very closely connected.I thought you were talking about maths in general when you said:"Of course, it is. Maths in practice reduces to proving theorems formulated long time ago, you only play with assumptions and unimportant details of the proofs. Someone proved the existence of an equation in Hilbert space, you generalize it to Banach space but still it is the same equation."

QuoteOriginally posted by: gianluca19I thought you were talking about maths in general when you said:"Of course, it is. Maths in practice reduces to proving theorems formulated long time ago, you only play with assumptions and unimportant details of the proofs. Someone proved the existence of an equation in Hilbert space, you generalize it to Banach space but still it is the same equation."I sustain my opinion. I'm educated in math finance what mathematically is a branch of stochastic analysis, which I obviously had to learn. You have some basic equations and you play all around the same game: strong solutions, weak solution, existence, uniqueness, stability, invariant measures, with Gaussian noise, with partial Wiener noise, with Levy noise, with Poisson noise, in finite dimension, in Hilbert space, in Banach space...After my postdoc I was completely fed up.

QuoteOriginally posted by: GamalQuoteOriginally posted by: gianluca19I thought you were talking about maths in general when you said:"Of course, it is. Maths in practice reduces to proving theorems formulated long time ago, you only play with assumptions and unimportant details of the proofs. Someone proved the existence of an equation in Hilbert space, you generalize it to Banach space but still it is the same equation."I sustain my opinion. I'm educated in math finance what mathematically is a branch of stochastic analysis, which I obviously had to learn. You have some basic equations and you play all around the same game: strong solutions, weak solution, existence, uniqueness, stability, invariant measures, with Gaussian noise, with partial Wiener noise, with Levy noise, with Poisson noise, in finite dimension, in Hilbert space, in Banach space...After my postdoc I was completely fed up.fair enough, I can see what you mean but these mathematicians you named (hilbert, banach, poisson...) had pretty good ideas beyond just playing with some technical tricks!my idea of mathematical research is more to try and follow the path of these people, but I am probably being an idealist and will get fed up as well!

QuoteOriginally posted by: gianluca19QuoteOriginally posted by: GamalQuoteOriginally posted by: gianluca19I thought you were talking about maths in general when you said:"Of course, it is. Maths in practice reduces to proving theorems formulated long time ago, you only play with assumptions and unimportant details of the proofs. Someone proved the existence of an equation in Hilbert space, you generalize it to Banach space but still it is the same equation."I sustain my opinion. I'm educated in math finance what mathematically is a branch of stochastic analysis, which I obviously had to learn. You have some basic equations and you play all around the same game: strong solutions, weak solution, existence, uniqueness, stability, invariant measures, with Gaussian noise, with partial Wiener noise, with Levy noise, with Poisson noise, in finite dimension, in Hilbert space, in Banach space...After my postdoc I was completely fed up.fair enough, I can see what you mean but these mathematicians you named (hilbert, banach, poisson...) had pretty good ideas beyond just playing with some technical tricks!my idea of mathematical research is more to try and follow the path of these people, but I am probably being an idealist and will get fed up as well!then you move to banking and realize that the only thing people care about is that you get things done

QuoteOriginally posted by: gianluca19fair enough, I can see what you mean but these mathematicians you named (hilbert, banach, poisson...) had pretty good ideas beyond just playing with some technical tricks!Of course they had! But they are long dead and I never met them. I met only a few mathematicians who were able to create new ideas (El Karoui, Malliavin, maybe someone more) and definitely I am not one of them myself. As a mathematician I would be dammed to prove existence and uniqueness of the same equations under slightly different assumptions, as a quant I have much more freedom for creativity, I think.

QuoteOriginally posted by: DevonFangsthen you move to banking and realize that the only thing people care about is that you get things doneIt is much worse. You move to industry and find that the traders, salespeople, bankers "price" entities by back of envelope calculations that a third grader could understand, with error bounds wide enough to drive a truck!Mathematical finance as a branch of applied probability, while very neat, is frankly not needed in practice.Here is an example. Look at Berkshire Hathaway. Buffet, Jain and co write puts day in and day out, whether explicitly or implicitly by buying other insurance firms, and do not hedge. They are essentially ensuring their actuarial risks are under control and making outright directional bets on equity risk premium being positive, that's it! All of their competitors spend time and energy hedging against this, that and the other market risk, all the while under-performing Berkshire. Why? Because this is a field where simple common sense rules the day, not the most abstruse mathematical arcana.As for complexity, there is none. It's just the heat equation. When someone suggests something beyond the heat equation, please ring a bell so we can stop and notice.QuoteOriginally posted by: GamalQuoteOriginally posted by: gianluca19fair enough, I can see what you mean but these mathematicians you named (hilbert, banach, poisson...) had pretty good ideas beyond just playing with some technical tricks!Of course they had! But they are long dead and I never met them. I met only a few mathematicians who were able to create new ideas (El Karoui, Malliavin, maybe someone more) and definitely I am not one of them myself. As a mathematician I would be dammed to prove existence and uniqueness of the same equations under slightly different assumptions, as a quant I have much more freedom for creativity, I think.Right the best scientists work on a problem, solve it, and move on to other problems.Financial mathematicians are still stuck on the heat equation after several decades. That says something about how shallow financial math is compared to the richness of the rest of math.

dup

QuoteFinancial mathematicians are still stuck on the heat equation after several decades. That says something about how shallow financial math is compared to the richness of the rest of math. Heat equation has closed solution and BS can be transformed to it. What else can we ask for?

QuoteOriginally posted by: ArthurDentFinancial mathematicians are still stuck on the heat equation after several decades. That says something about how shallow financial math is compared to the richness of the rest of math.True. It's easier to impelement a new idea and let it work than to publish it.Heath, Jarrow and Morton had terrible problems with the publication of their seminal paper and they summarized the story in the article "Easier done than said."

Poincare said: On résout les problèmes qu'on se pose et non les problèmes qui se posent. So I am not the only one to see that problem in academia. Perelman and Grothendieck had similar observations.

Business School Professor Salaries