The Hard Problem

  • Elie Ayache


Probability theory and the name of the market have been improperly mixed at the beginning. We relied only on our familiarity with their terms. The market is not just the market; it is essential for thought. You may think it is not as fundamental as a physical theory; in fact, it is as fundamental as a metaphysical theory.


Brownian Motion Option Price Trading Strategy Physical Reality Implied Volatility 
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  1. 2.
    Louis Bachelier, Théorie de la Spéculation (Paris: Éditions Jacques Gabay, 1995).Google Scholar
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    See Vladimir Vovk, Continuous-time trading and the emergence of volatility, Electronic Communications in Probability, 13, 2008, 319–324.CrossRefGoogle Scholar
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    Glenn Shafer and Vladimir Vovk, Probability and Finance: It Is Only a Game! (New York: John Wiley & Sons Ltd, 2001).CrossRefGoogle Scholar
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    Riccardo Rebonato, Volatility and Correlation: The Perfect Hedger and the Fox, second edition (Chichester: John Wiley & Sons Ltd, 2004).CrossRefGoogle Scholar
  5. 7.
    Peter Whittle, Probability via Expectation (New York: Springer-Verlag, 2000).CrossRefGoogle Scholar

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© Elie Ayache 2015

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  • Elie Ayache

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