Toomre Capital Markets LLC

Real-Time Capital Markets -- Analytics, Visualization, Event Processing, and Intelligence

Fisher Black and the Revolutionary Idea of Finance - Recommended Reading

Professor Perry Mehrling has written an excellent book entitled “Fisher Black and The Revolutionary Idea of Finance” (ISBN 0471457329). Lars Toomre had the pleasure of receiving a copy of this book for Christmas and heartily recommends it to anyone interested in the field of options, derivatives, portfolio insurance and/or global asset allocation models. As the book jacket states Fisher Black was “the high priest of modern finance, who saw the big picture that linked up all the smaller developments, both theoretical and practical. The big picture was all about risk and about a sea change in our understanding of the place of risk in modern society. Fisher Black learned the Capital Asset Pricing Model (“CAPM”) that teaches a scientific approach to risk, telling when and how to avoid it, but also when and how to embrace it. Fisher Black lived his life the dictates of that model, treating risk as nothing more than the price of reward.” This is an excellent story about the birth of quantitative finance and financial engineering, and a highly recommended addition to the TCM reading list.