CV – Nassim Taleb
RESEARCH AND ACADEMIC
University of Massachusetts at Amherst, Isenberg School of Management, Dean’s Professor in the Sciences of Uncertainty. Jointly, Fellow, and Adjunct Professor of Mathematics (since 1999) at the Courant Institute of Mathematical Sciences of New York University. Also, Fellow, The Wharton School Financial Institutions Center.
Education: MBA from Wharton, undergraduate and PhD from the University of Paris.
BUSINESS CAREER
Taleb held senior positions with major banks, focusing on trading complex derivatives: Head currency derivatives Trader and Managing Director, UBS; Head fixed income derivatives trader, derivative, CSFB, NY; Independent floor trader, Chicago Mercantile Exchange; Head derivatives trader, CIBC; Other trading positions: BNP-Paribas, Bankers Trust, Credit Agricole. Founded Empirica Capital LLC in 1998 mainly to directly manage protection portfolios against extreme events for hedge and pension funds, until his retirement from daily trading in January 2005. Currently member of the board of several hedge funds. Was inducted into the Derivatives Strategy Hall of Fame in 2001 (among a dozen of such industry awards).
Risk Advisory: Taleb has, since 2000, advised several major institutions (seven of the largest ten banks and investment banks, the two largest reinsurance companies) on risk management of tail events and model error. Member, the U.S. Defense Department (Pentagon) Highland Forum.
Press coverage: His ideas on risk management have been covered in about 800 media articles, including a profile by Malcolm Gladwell in the New Yorker, John Kay in the FT.
BOOKS and PAPERS
The Black Swan: The Impact of the Highly Improbable, New York: Random House and London: Penguin, 2007 (May)
Fooled By Randomness: The Hidden Role of Chance in Life and in the Markets,2nd Ed. Rev., Random House, 2005 (1st ed., Texere, 2001). 18 Languages.
Le hasard sauvage, Paris: Editions Les Belles Lettres, 2005
Dynamic Hedging: Managing Vanilla and Exotic Options, J. Wiley, 1997. Revision in progress (forthcoming 2007-2008)
Representative Articles Since 2004
“We Don’t Know What We Are Talking About When We Talk About Volatility” (with Daniel Goldstein), in press, Journal of Portfolio Management.
“Epistemology and Risk Management”, in press, Risk and Regulation, with Avital Pilpel.
“Scalability and the Problems of Practice”, (Accepted, under revision), Complexity (Special Issue on Econophysics, edited by Martin Shubik)
“Random Walk, not Random Jump” (with Benoit Mandelbrot), in The Known, the Unknown, and the Unknowable in Financial Institutions, Richard Herring Ed., Princeton University Press (forthcoming), 2007
“Introduction to The Volatility Surface”, in J. G. Gatheral, Wiley, 2006.
“Prediction”, in What We Believe But Cannot Prove: Today's Leading Thinkers on Science in the Age of Certainty, John Brockman, ed., Harper Perennial, 2006
“Homo Ludens and Homo Economicus” , Foreword to Aaron Brown’s The Poker Face of Wall Street, Wiley, 2006
“The Illusions of Dynamic Replication”, Quantitative Finance, Vol. 5, August 2005, pp.323-326. (with Emanuel Derman).
"Fat Tails, Asymmetric Knowledge, and Decision Making", Wilmott March 2005, pp. 56-59.
“Roots of Unfairness”, Literary Research/Recherche Littéraire (Journal of the International Comparative Literature Association) 21.41-42 (2004): 241-254.
“Bleed or Blowup: What Does Empirical Psychology Tell Us About the Preference For Negative Skewness? ”, Journal of Behavioral Finance, 5, 2004.
I problemi epistemologici del risk management in: Daniele Pace (a cura di) Economia del rischio. Antologia di scritti su rischio e decisione economica, Giuffrè, Milano 2004.
“These Extreme Exceptions of Commodity Derivatives”, in Commodity Derivatives, Helyette Geman (Wiley, 2004).
“On Skewness in Investment Choices”, Greenwich Roundtable Quarterly, Volume 2, 2004.
Op-Ed Columns: New York Times/ Herald Tribune, Fortune, Financial Times, Il Sole, An-Nahar.
Recent Academic Talks: Bank of England (Risk management), Yale (Economics), Columbia (Engineering, Mathematics), Stanford (Mathematics), Johns Hopkins (Mathematics), NYU (Economics, Mathematics), Ecole Polytechnique, MIT (Business), American University in Beirut (Mathematics), University of Western Ontario (Humanities), Society of Judgment and Decision Making Annual Meeting, Cambridge Union Society. Industry Debates and Panels with Nobel laureates: Kahneman (three times), Merton (twice), Scholes (twice), Engel (twice), Granger.