Monday, July 6, 2009

How maths killed Lehman

A cute article written by an Oxford Ph.D. in Mathematics. (Note to US readers - Maths is the English way of saying "Math".) The article explains nicely how cross-asset-correlation, and the faulty assumption of independence of bad events could be seen as an explanation for Lehman's demise.

The online magazine "Plus - living mathematics" has a few other nice articles related to finance...

What does a financial engineer do?

How to price derivatives

and is Maths to blame?