Currently , i am working with a financial services company. Our core platforms contain lot of analytical tools to aid an investor to make informed decisions about his portfolio , risk management strategy ,pros and cons of his investment styles etc to name a few.
When i visited Oberon Mall in Kochi, i happen to come across a copy of the book "When Genius Failed " by Roger Lowenstein. The book chronicles the story of Long Term Capital Management
(Hedge ) Fund. The Elite fund was run by ex- Salmon brother employees and Harvard/MIT
genre individuals. Notable among them were nobel laureates Robert Merton and Myron Scholes ( Of the Black Scholes Option evaluation formula fame ). The Fund was relying on canned mathematical models and awareness about the local markets. After giving good returns for four years , it broke in 1998.The Federal Agencies bailed the fund out. The consequence of the event shook the wall street vehemently.
The book is an interesting read. Quantitative Finance is like a religion created by people who want certainty in the messy human world.
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