Fischer Black
Quant of the year: Pierre Henry-Labordère
Risk Awards 2023: Two-time award-winner impresses for his whizzy alternative to local volatility model
Fischer Black was right. Somewhat
CFM quants show timing and extent of mean reversion using a highly data-intensive study
Black was right: price is within a factor 2 of value
CFM’s quants verify Fisher Black’s intuition on mean reversion still applies today