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Wednesday, 1 April 2009

What's in a name?

Mark Carhart and Ray Iwanowski, managing directors and co-heads of its quantitative investment strategy team, have left Goldman Sachs after large losses at Global Alpha. It seems that the gurus of "new finance" watered down their pure alpha product with a bit too much beta.

If the language of Stochastic Volatility Models is all Greek you, I recommend a little Emanuel Derman.

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