# Welcome to a non-Black-Scholes world

@article{Bouchaud2001WelcomeTA, title={Welcome to a non-Black-Scholes world}, author={Jean-Philippe Bouchaud and Marc Potters}, journal={Quantitative Finance}, year={2001}, volume={1}, pages={482 - 483} }

Jean-Phillipe Bouchaud and Marc Potters, citing option markets and risk awareness, challenge the view that the Black-Scholes model needs little improvement - in fact, it should be seen as a special case of a more general theory.

## 18 Citations

THE DYNAMICS OF FINANCIAL MARKETS - MANDELBROT'S MULTIFRACTAL CASCADES, AND BEYOND

- Physics
- 2005

This is a short review in honor of B. Mandelbrot's 80st birthday, to appear in W ilmott magazine. We discuss how multiplicative cascades and related multifractal ideas might be relevant to model the…

Why We Have Never Used the Black-Scholes-Merton Option Pricing Formula

- Economics
- 2008

Options traders use a pricing formula which they adapt by fudging and changing the tails and skewness by varying one parameter, the standard deviation of a Gaussian. Such formula is popularly called…

Preface

- Economics
- 2004

Black, Scholes and Merton published their celebrated papers more than thirty years ago, where they showed how options should be priced and hedged in an idealized world where the price follows a…

Option traders use (very) sophisticated heuristics, never the Black- Scholes-Merton formula 1

- Economics
- 2010

Jumps in financial modelling: pitting the Black-Scholes model refinement programme against the Mandelbrot programme

- Mathematics
- 2015

This paper gives an overview of the financial modelling of discontinuities in the behaviour of stock market prices. I adopt an epistemological perspective to present to the two main competitors for…

A non-Gaussian option pricing model with skew

- Mathematics
- 2004

Closed form option pricing formulae explaining skew and smile are obtained within a parsimonious non-Gaussian framework. We extend the non-Gaussian option pricing model of L. Borland (Quantitative…

Finiteness of variance is irrelevant in the practice of quantitative finance

- EconomicsComplex.
- 2009

It is seen that power laws (even with finite variance) are totally incompatible with the foundations of financial economics, both derivatives pricing and portfolio theory, and methods to deal with the implications of the point in a real world setting are discussed.

Models of Randomness and Complexity, from Turbulence to Stock Markets

- ArtLeonardo
- 2008

ABSTRACT Inspired by the increasing complexity of statistical models for turbulence and stock markets, the author presents some reflections on the very notion of a model and illustrates some…

The subtle nature of financial random walks.

- EconomicsChaos
- 2005

It is argued that the resulting unpredictability of price changes is very far from the neoclassical view that markets are informationally efficient, and empirical evidence for a very subtle compensation mechanism is provided.

## References

Theory of Financial Risks (Cambridge: CUP

- 2000