, Columnist
Goldman Has a Derivatives Robot
Also SBF’s testimony, scammer self-delusion, FTX 2.0, Joe Bankman on shadow trading, Twitter debt and a forgotten crypto password.
Disclosure! I used to sell customized derivatives at Goldman Sachs Group Inc. There are roughly four steps in pricing a complex derivative to show to a client:
Oh, I kid, probably programming the model (Step 1) is the most important part; if you get that wrong then you have huge systemic problems. But the quants do that. At the level of derivatives sales, nudging the price up to what the client is willing to pay is what earns you your bonus.1