Nassim Nicholas Taleb

NYU-Tandon School of Engineering

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SCHOLARLY PAPERS

28

DOWNLOADS

165,728

CITATIONS

42

Scholarly Papers (28)

1.

Option Traders Use (very) Sophisticated Heuristics, Never the Black–Scholes–Merton Formula

Journal of Economic Behavior and Organization, Vol. 77, No. 2, 2011
Number of pages: 11 Posted: 11 Sep 2007 Last Revised: 16 Nov 2012
Espen Gaarder Haug and Nassim Nicholas Taleb
affiliation not provided to SSRN and NYU-Tandon School of Engineering
Downloads 51,709 (10)
Citation 7

Abstract:

Option pricing, put-call parity, delta hedging, Black-Scholes-Merton, Bachelier, Thorp

2.

We Don't Quite Know What We are Talking About When We Talk About Volatility

Journal of Portfolio Management, Vol. 33, No. 4, 2007
Number of pages: 8 Posted: 14 Mar 2007 Last Revised: 16 Nov 2012
Daniel G. Goldstein and Nassim Nicholas Taleb
Microsoft Research New York City and NYU-Tandon School of Engineering
Downloads 32,519 (33)
Citation 4

Abstract:

finance, volatility, risk, intuition, statistics, metrics

3.

The Illusions of Dynamic Replication

Quantitative Finance, Vol. 5, No. 4, pp. 323-326, August 2005
Number of pages: 5 Posted: 09 May 2005 Last Revised: 16 Nov 2012
Emanuel Derman and Nassim Nicholas Taleb
Columbia University and NYU-Tandon School of Engineering
Downloads 9,199 (336)
Citation 8

Abstract:

Option Pricing, Replication, Valuation,

4.

The Skin In The Game Heuristic for Protection Against Tail Events

Review of Behavioral Economics, 2014, 1: 1–21,
Number of pages: 12 Posted: 26 Jul 2013 Last Revised: 10 Jun 2014
Nassim Nicholas Taleb and Constantine Sandis
NYU-Tandon School of Engineering and Oxford Brookes University - Oxford Brooks
Downloads 8,470 (322)

Abstract:

RIsk management, Heuristics, Black Swans, Fragility, Ethics, Moral Philosophy, Probability

5.

Finiteness of Variance is Irrelevant in the Practice of Quantitative Finance

Complexity, Vol. 14, Issue 3, pp. 66–76, January/February 2009,
Number of pages: 12 Posted: 09 Jun 2008 Last Revised: 16 Nov 2012
Nassim Nicholas Taleb
NYU-Tandon School of Engineering
Downloads 7,107 (573)
Citation 6

Abstract:

Portfolio theory, power laws, option pricing, fat tails, risk management

6.

Errors, Robustness, and the Fourth Quadrant

International Journal of Forecasting, Vol. 25, No. 4, 2009
Number of pages: 16 Posted: 14 Feb 2009 Last Revised: 16 Nov 2012
Nassim Nicholas Taleb
NYU-Tandon School of Engineering
Downloads 6,778 (600)
Citation 9

Abstract:

complexity, decision theory, fat tails, risk management

7.

On the Difference between Binary Prediction and True Exposure with Implications for Forecasting Tournaments and Decision Making Research

Number of pages: 6 Posted: 26 Jun 2013 Last Revised: 28 Nov 2013
Nassim Nicholas Taleb and Philip E. Tetlock
NYU-Tandon School of Engineering and University of California, Berkeley - Organizational Behavior & Industrial Relations Group
Downloads 5,924 (697)
Citation 1

Abstract:

Predictions, Risk, Decision, Judgment and Decision Making, Fat Tails

8.

Four Points Beginner Risk Managers Should Learn from Jeff Holman's Mistakes in the Discussion of Antifragile

Quantitative Finance, Forthcoming
Number of pages: 5 Posted: 18 Dec 2013 Last Revised: 15 Feb 2014
Nassim Nicholas Taleb
NYU-Tandon School of Engineering
Downloads 5,492 (867)

Abstract:

Risk Management

9.

Mathematical Definition, Mapping, and Detection of (Anti)Fragility

Quantitative Finance, Forthcoming
Number of pages: 19 Posted: 06 Aug 2012 Last Revised: 04 Apr 2014
Nassim Nicholas Taleb and Raphael Douady
NYU-Tandon School of Engineering and Riskdata
Downloads 5,178 (901)
Citation 2

Abstract:

Fragility, Risk Management, Stress Testing, Model Error, Black Swans

10.

Statistical Undecidability

Number of pages: 3 Posted: 14 Oct 2010 Last Revised: 28 Dec 2015
Raphael Douady and Nassim Nicholas Taleb
Riskdata and NYU-Tandon School of Engineering
Downloads 4,655 (870)

Abstract:

11.

A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing

IMF Working Paper No. 12/216
Number of pages: 25 Posted: 03 Oct 2012
NYU-Tandon School of Engineering, International Monetary Fund (IMF), International Monetary Fund (IMF), International Monetary Fund (IMF) and International Monetary Fund (IMF)
Downloads 3,012 (1,478)
Citation 2

Abstract:

Stress Testing, Forecasting, Stability, Banks, Economic Models, Public Debt

12.

The Risk Externalities of Too Big to Fail

Physica A: Statistical Mechanics and its Applications 389 (17), 3503-3507
Number of pages: 8 Posted: 01 Nov 2009 Last Revised: 15 Feb 2014
Nassim Nicholas Taleb and Charles S. Tapiero
NYU-Tandon School of Engineering and NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Downloads 2,811 (2,726)
Citation 3

Abstract:

banking crisis, risk management, too big to fail

13.

The Problem is Beyond Psychology: The Real World is More Random than Regression Analyses

International Journal of Forecasting, Forthcoming
Number of pages: 4 Posted: 10 Oct 2011
Nassim Nicholas Taleb and Daniel G. Goldstein
NYU-Tandon School of Engineering and Microsoft Research New York City
Downloads 2,693 (2,931)

Abstract:

14.

On the Super-Additivity and Estimation Biases of Quantile Contributions

Physica A: Statistical Mechanics and Applications, Forthcoming
Number of pages: 6 Posted: 09 May 2014 Last Revised: 01 Feb 2015
Nassim Nicholas Taleb and Raphael Douady
NYU-Tandon School of Engineering and Riskdata
Downloads 1,504 (8,067)

Abstract:

Risk, Inequality, Statistics

15.

How to Prevent Other Financial Crises

School of Advanced International Studies Review, Forthcoming
Number of pages: 7 Posted: 27 Mar 2012
Nassim Nicholas Taleb and George A. Martin
NYU-Tandon School of Engineering and affiliation not provided to SSRN
Downloads 955 (15,423)

Abstract:

16.

Unique Option Pricing Measure with Neither Dynamic Hedging nor Complete Markets

European Financial Management, Forthcoming
Number of pages: 8 Posted: 14 May 2014 Last Revised: 17 Sep 2014
Nassim Nicholas Taleb
NYU-Tandon School of Engineering
Downloads 842 (18,922)

Abstract:

Derivatives, Options, Quantitative Finance

17.

The Decline of Violent Conflicts: What Do the Data Really Say?

The Nobel Foundation, Causes of Peace, Forthcoming
Number of pages: 26 Posted: 30 Nov 2016
Pasquale Cirillo and Nassim Nicholas Taleb
Delft University of Technology and NYU-Tandon School of Engineering
Downloads 0 (4,719)

Abstract:

18.

The Meta-Distribution of Standard P-Values

Number of pages: 4 Posted: 09 Sep 2016
Nassim Nicholas Taleb
NYU-Tandon School of Engineering
Downloads 0 (61,269)

Abstract:

Risk, P-Value, Statistical Inference, Testing

19.

Stochastic Tail Exponent for Asymmetric Power Laws

Number of pages: 4 Posted: 06 Sep 2016
Nassim Nicholas Taleb
NYU-Tandon School of Engineering
Downloads 0 (21,037)

Abstract:

Risk, Power Laws, Statistics, Tail Risk

20.

Expected Shortfall Estimation for Apparently Infinite-Mean Models of Operational Risk

Quantitative Finance, Volume 16, 2016 - Issue 10
Number of pages: 23 Posted: 27 Oct 2015 Last Revised: 12 Jan 2017
Pasquale Cirillo and Nassim Nicholas Taleb
Delft University of Technology and NYU-Tandon School of Engineering
Downloads 0 (12,577)

Abstract:

Operational risk, Expected Shortfall, Infinite Mean, VaR

21.

On the Statistical Properties and Tail Risk of Violent Conflicts

Physica A. Forthcoming.
Number of pages: 13 Posted: 18 Oct 2015 Last Revised: 12 Feb 2016
Pasquale Cirillo and Nassim Nicholas Taleb
Delft University of Technology and NYU-Tandon School of Engineering
Downloads 0 (33,595)

Abstract:

Risk, Extreme Value Theory, Black Swan, Violence

22.

How to (Not) Estimate Gini Coefficients for Fat Tailed Variables

Number of pages: 4 Posted: 17 Oct 2015 Last Revised: 16 Nov 2015
Nassim Nicholas Taleb
NYU-Tandon School of Engineering
Downloads 0 (86,729)

Abstract:

Gini, Inequality

23.

No, Small Probabilities are Not 'Attractive to Sell': A Comment

Financial Analysts Journal, Forthcoming
Posted: 06 Jan 2013 Last Revised: 02 Feb 2015
Nassim Nicholas Taleb
NYU-Tandon School of Engineering

Abstract:

24.

The Illusion of Thin-Tails Under Aggregation

Journal of Investment Management, Forthcoming
Posted: 19 Jan 2012 Last Revised: 02 Feb 2015
Nassim Nicholas Taleb and George A. Martin
NYU-Tandon School of Engineering and affiliation not provided to SSRN

Abstract:

Risk, Portfolio Theory, Treynor, Markowitz

25.

The Future Has Thicker Tails than the Past: Model Error as Branching Counterfactuals

NYU Poly Research Paper
Posted: 24 May 2011
Nassim Nicholas Taleb
NYU-Tandon School of Engineering

Abstract:

26.

Why did the Crisis of 2008 Happen?

Posted: 29 Aug 2010 Last Revised: 02 Feb 2015
Nassim Nicholas Taleb
NYU-Tandon School of Engineering

Abstract:

Black Swan, Risk Management, Finance, Markets, Crisis

27.

Common Errors in the Interpretation of the Ideas of The Black Swan and Associated Papers

Posted: 21 Oct 2009
Nassim Nicholas Taleb
NYU-Tandon School of Engineering

Abstract:

Black Swan, Risk Management, Finance, Markets

28.

Too Big to Fail, Hidden Risks, and the Fallacy of Large Institutions

Posted: 05 May 2009
Charles S. Tapiero and Nassim Nicholas Taleb
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and NYU-Tandon School of Engineering

Abstract:

economies of scale, banking crisis, risk management, operational risk