Wednesday, February 4, 2009

Dr. Edward O. Thorp: Godfather to the Quant Revolution

Thorp is:

  • The father of Card Counting in Blackjack (author of best-selling Beat the Dealer)
  • The father of Option and Warrant Modeling & Arbitrage (author of Beat the Market)
  • Principal of the first known Market Neutral Hedge Fund and Market Neutral Fund of Funds
  • 40+ year Wall Street Veteran
  • Pioneer of many strategies now routinely used (option arbitrage, warrant and convertible arbitrage, index arbitrage, statstical arbitrage -- "stat arb", Kelly Criterion application)

No comments: