Games, gambling and quantitative finance

The founding of game theory: expected utility and strategy among interacting players.

An asset's risk depends on how it moves with the rest of the portfolio.

Conflict as bargaining: commitment, credible threats and focal points.

The first proven way to beat blackjack, by counting the cards left in the deck.

Computer tournaments of the prisoner's dilemma show why tit-for-tat wins.

Game theory without maths: look forward, reason back, and make threats credible.

How people learned to measure risk, from early probability to portfolio theory.

Stock, bond and bill returns for sixteen countries from 1900 to 2000.

Von Neumann, game theory and the prisoner's dilemma in nuclear strategy.

Decades of US stock data testing which selection rules have beaten the market.

The Kelly criterion for sizing bets, from Bell Labs to casinos and hedge funds.

Game theory without maths, with new examples: commitment, signals, bargaining.

The mathematics of risk parity: risk contributions and risk budgeting.

Power laws, scaling and critical points across physical and social systems

A mathematician's own losses used to explain market probability errors

Edited volume of collected papers.

A risk manager's history of quantitative risk and what value-at-risk is for.

How physicists and mathematicians came to run money; useful context for Simons.

The cross-sectional testing methods behind every factor claim.

Technical companion to the Incerto; free preprint on arXiv

Optimal-f and the practical arithmetic of fractional betting.

The technical reference on extreme value theory for insurance and finance

The statistical tools of empirical finance and the questions they test.

Log-periodic power laws as a physicist's model of crash formation

Compact mathematical treatment of derivative pricing and its applications

Why standard finance models understate market risk, from fractal geometry's creator.

A primer on the theory of games of strategy, written for non-specialists.