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Flirting with Models

Aug 8, 2022

Today I am joined by Hari Krishnan, Head of Volatility Strategies at SCT Capital and author of the books Second Leg Down and Market Tremors.

We begin with a discussion of Hari’s newest book, Market Tremors, and the main theoretical idea: Mean Field Theory.  Hari lays out both the philosophical underpinnings of...

Aug 1, 2022

In this episode I speak with Harel Jacobson, an FX volatility trader.

There is a lot that makes the FX volatility market unique.  For starters, the end users are more focused on hedging cash-flow and liquidity than wealth.  Since the underlying is currency pairs, volatility surface arbitrage conditions...

Jul 25, 2022

My guest in this episode is Andrew Beer, co-founder of Dynamic Beta Investments.

Andrew has spent the last 15 years trying to pioneer the adoption of hedge fund replication strategies.  The core thesis is that several hedge fund categories can be dynamically replicated using just a handful of liquid market exposures and...

Jul 18, 2022

My guest in this episode needs no introduction: Antti Ilmanen, co-head of Portfolio Solutions at AQR, award winning researcher, and author of the books Expected Returns and the recently published Investing Amid Low Expected Returns.

A decade has passed since Antti wrote his first book, providing both a decade of...

Jul 11, 2022

My guest this episode is Ralph Smith, Head of Research at BlueCove.

BlueCove offers long-only and market-neutral mandates in corporate credit and interest rate markets, with an emphasis on utilizing a scientific approach to portfolio construction.

We spend the episode discussing how the unique nature of fixed income...