Monday 25 March 2013

The patron saint of quants


Pascal was a competent but by no means brilliant mathematician.  He designed and set into production a mechanical computer.  He leveraged off the back of superior mathematical talent.  He is said to have invented decision theory with his wager, giving birth to a whole industry, via Daniel Bernoulli, Bentham, Samuelson down to Black, which inappropriately attempted to extend the concept of fair value calculation way beyond any practicable remit.  Pascal  briefly hung around with wealthy gamblers who used his intellectual horsepower to help enrich themselves.  He quit his game while still relatively young with more than a few regrets.  Pascal was the patron saint of quants

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