Frequently Asked Questions In Quantitative Finance

208 Frequently Asked Questions In Quantitative Finance

need is for the returns distribution to have a finite vari-

ance, the precise shape of that distribution, its skew

and kurtosis, don’t much matter.

Black–Scholes is a remarkably robust model.

References and Further Reading

Wilmott, P 2006Paul Wilmott On Quantitative Finance, second

edition. John Wiley & Sons