Welcome to a non-Black-Scholes world

  title={Welcome to a non-Black-Scholes world},
  author={Jean-Philippe Bouchaud and Marc Potters},
  journal={Quantitative Finance},
  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. 
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Why We Have Never Used the Black-Scholes-Merton Option Pricing Formula
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Jumps in financial modelling: pitting the Black-Scholes model refinement programme against the Mandelbrot programme
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
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
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
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
Risk externalities and too big to fail
The subtle nature of financial random walks.
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Theory of Financial Risks (Cambridge: CUP
  • 2000