Twofish's Blog


If you want to know who I am, you’ll either have to do some digging, or you can just leave a message and ask.  It’s not terribly hard to go from my blog identity to my other identities, but given that I’m starting to say some really personal things, I’d like to put an identity speed bump in the way.


  1. Hello, from one fish to… two! 😉

    Comment by swedishfish — July 28, 2006 @ 4:25 am

  2. Hi Twofish

    Although we have never met we have some things in common.. I also have a PhD in astrophysics.. and in fact I also did some work on SN simulations. Now a postdoc, but looking to move into quant world. I’ve read your blog a few times over the past year or so. Keep it up, and good luck with everything!


    Comment by moonmaker — September 23, 2006 @ 7:40 am

  3. Hi Twofish. I know you from Wilmott. Find your blog interesting at times. You can drop by and look at my blog if you like. But don’t expect much. Cheers!

    Comment by Jomni — February 8, 2007 @ 8:39 am

  4. en, i like this blog. especially when u refered about pain, lots of pain, and science palm, em.. that is.. many..

    Comment by yilei — February 10, 2007 @ 1:02 pm

  5. Hi Twofish,

    I am the Gainesville Guy. I hope you still remember. I am glad that you finally got a job working on QF. I certainly hope that it would be the way you thought it was. I am also hoping that you like what you are doing and stay that way.

    Lots of things have happened since I acquired my Post-doc position. I started to understand the “Money Chase” game in the Colledge of Engineering, which was totally unheard of when I was in Math( or even Physics). I will still be a post-doc for another year under a different faculty, who turns out, having a private OR company of his own. I will be working for him as an employee starting next year if I like the job and he likes my performance this coming year.

    I have a couple of papers in QF as a result of the year working as a post-doc. But for now, I am not interested getting a job in QF any more.

    I wish you good luck in whatever you want to accomplish. Drop me a couple of lines some time.

    Comment by Yuan — June 11, 2007 @ 5:35 pm

  6. Nice post, twofish. I’ve got a similar argument on my blog and in an article in The Freeman (check the links in the msot recent post) you might be interested in. The gist of it was that Mises was way too optimistic in believing that double-entry bookkeeping would be sufficient to keep the corporation “entrepreneurial” instead of bureaucratic.

    Comment by Kevin Carson — August 17, 2007 @ 12:10 am

  7. Hi Joseph,

    Congrats on the new job, it’s been a while since we talked, but it’s good to hear you’ve landed somewhere ideal.

    Comment by MM — September 17, 2007 @ 9:18 pm

  8. Hi, I saw your post about the open degree architecture. I am trying to bootstrap a free academic community, primarily focused on research, but also doing teaching etc. I am looking for other people interested in re-inventing academia, and I thought you could be of help. If interested get in touch.

    Comment by NSK Nikolaos S. Karastathis — January 23, 2008 @ 9:09 pm

  9. Hi, I have read many of your posts on Wilmott and was wondering if I could come to you for some career advice in QF. I am a senior in undergrad and want to learn more about the field. Shoot me an e-mail when you get a chance please! Thanks.

    Comment by CN Chen — March 9, 2008 @ 5:09 pm

  10. Nice blog. You are one of the few that actually gave a hoot about Taiwan’s election.

    Everybody else was too busy sh!tting on China over Darfur/Tibet/Falun Gong/”House Chruch” that kills people/whatever…

    Comment by Charles Liu — March 28, 2008 @ 4:51 pm

  11. Dear TwoFish. As a journalist writing about Asian economy/politics, your blog has become must read for me.
    Do keep up your interesting entries, and I hope to communicate with you (on a secure line 😉 ) some day soon.

    Best, Glen

    Comment by Glen Mikkelsen — May 25, 2008 @ 1:23 pm

  12. i read your comments frequently in Michael Pettis’s Blog and Brad Setser’s. I always like to know a little about the person im reading, please send me a brief summary if you have one of yourself. nothing to personal is required,.. i would just like to know a little about where you have studies and what you do with your time

    Comment by dana gardiner — May 25, 2008 @ 1:45 pm

  13. One fish two fish red fish blue fish. It’s that simple. Its just the people who complicate it. I like your comments on BS’s blog so I’ve subscribed to yours as well. Thanks.

    Comment by simon — June 6, 2008 @ 1:44 am

  14. Hi Twofish. Your well informed and educated comments on Brad Selser’s blog made me curious. Who are you?

    Comment by RIEN Huizer — June 21, 2008 @ 2:50 am

  15. Hi there, I wanted to touch base with you to ask your permission if I could reproduce your piece “Toward a social constructivist theory of law” as a post on my new blog (established, yesterday). It will be the first significant posting. The prior post I will do an introduction to what the blog is about.

    Please contact me at, so that I may highlight the particulars of the blog. I hope to hear from you soon.


    Comment by Jason Wilson — July 9, 2008 @ 8:47 pm

  16. Do you just sit there and pat yourself on the back all day long? I bet you do, which is kinda sad.

    Comment by Lame — July 11, 2008 @ 4:51 am

  17. Hello – I know your name, since I’ve been a reader of the Wilmott blogs for a while now. I’ve read enough to know that you have a Houston connection. Wanted to ask you some career-related questions if you are up for it. I have no plans to be a quant, nor move to NYC – so Wilmott doesn’t seem the right place to do so. Email if you are so inclined.

    Comment by TimB — October 2, 2008 @ 5:03 am

  18. Hey, Twofish, I read a lot of your insightful comments on Brad Setser’s blog. Do you care to drop me an email? I’d like to know what you do for your day job and ask you a few questions that are totally outside my area but that you seem quite good at.

    Comment by Jian Feng — October 27, 2008 @ 7:53 pm

  19. Hi, Twofish

    Saw your comments about AIG on Brad Delong’s blog, and I think you’re exactly right. I’ve been trying to decipher the footnote convolutions in AIG’s recent SEC reports in order to develop it as a current event study for a graduate MBA accounting class. It looks as tho the rot at AIG went pretty deep — not just the super senior CDS insurance but also the Securities Lending (a/k/a “Bet the Lunch Money”) program, the UGC “premium deficiency reserve”, the policyholder trading losses, etc. etc.

    AIG is the poster child for what’s wrong in finance and in handling the bailout. It seems that they forgot the basic difference between insurance and gambling — “Insurance is the bet you don’t want to win.” Do keep on coming up with your insights.

    Comment by Bob — November 20, 2008 @ 1:16 am

  20. The thing about AIG is that it is also interesting from a regulatory point of view. People have been talking about “more regulation” but if you look at AIG and think about what regulation was necessary, it is actually not obvious.

    For example, Democrats have been bashing Republicans for passing the Commodities Modernization Act which moved CDS out of insurance regulation and CFTC regulation. However assume that this had been passed, it’s likely that we still would have had a big problem because the AIG unit that caused problems was based in London and even if the US had strong regulation, it would have been useless as long as the UK regulators didn’t act.

    Comment by twofish — November 22, 2008 @ 7:13 am

  21. Hi

    I was interested in your website based on the discussions I followed on B Setser’s blog. So, I found it frustrating to find the what do you call it “speed bumps” when clicking on some articles. If you don’t mind I would like access.

    I have provided my email address and my website – which is primarily a family communication site, but hopefully establishes my bona fides, if such were needed.

    Thank you

    Comment by Sthan — November 23, 2008 @ 6:44 pm

  22. two fish:

    This is my first time reading your blog, but I have read your comments on CLB multiple times. Many insightful posts here and resonate with me. Got to to back to my exam review now, and will return later to read more. Would appreciate access to many of your posts protected by password. Thanks!

    Comment by Brad Luo — December 16, 2008 @ 10:36 pm

  23. Twofish,

    Interesting to read your opinions on bsetser’s blog on ‘Chieropa’. Many of your comments there coincide with mine on China and its development over the past few decades. Just wanted to say: Keep up the good work!

    Comment by Kalarr — December 22, 2008 @ 10:21 pm

  24. Hi twofish,

    I read some of your interesting comments on Brad’s blog. I left some of my messages there occasionally. I guess you are in New York, right? I am wondering if you have any information about the recruitment of Chinese financial professionals from Chinese government or firms. I am a Chinese living in Vancouver. If you have any news about the procedure of their recruitment, please drop me a line. Thanks a million.


    Comment by Ying — January 16, 2009 @ 2:04 am

  25. Hi twofish,

    I’m finding your blog interesting and am wondering what your background is. For a PhD in astrophysics, you seem to write on quite a diverse number of subjects.

    Comment by Luwen Huang — January 22, 2009 @ 2:29 pm

  26. Hi Twofish,

    I’ve been reading your comments on Brad’s blog for months and I have to say among all the very well-informed pundits on his site, you’re the one the makes the most sense to me, particularly on your understanding of China. Your understanding about China is mostly unconventional and unsuperficial, yet always consistent with the one that I have. Thanks for the sharing your thoughts! Drop me a line if you’d like to exchange views from time to time. I do believe I have something to offer in terms of what historic events are unfolding in the world now.

    Comment by Twofish — February 2, 2009 @ 7:08 pm

  27. Hi twofish. By accident discovered that I made a spelling error in my email address a long time ago. I guess your speed bumps have something to do with MBS modeling. Your comments on Brad’s blog are impressive and I would like to know more about your background and interests. Your points of view make a lot of sense within what I believe is the logic of the current political structure.

    Comment by Rien Huizer — February 4, 2009 @ 3:02 am

  28. Sorry, whats all this about Wilmott? Isn’t that some kind of milk? What does astrophysics have to do with milk? I thought the moon was made of cheese?

    Seriously though, I’d like to have access to some of your password protected posts.

    The Second Mouse

    Comment by The Second Mouse — February 21, 2009 @ 3:30 pm

  29. Hello,
    I have always been an fan of your contributions and your writings.

    I wanted to invite you to, incase you would find that a match with your tastes.


    Comment by Wikademia — March 23, 2009 @ 5:18 pm

  30. Dear Twofish,
    I’m pleased to invite you to become part of the Seeking Alpha team,
    and would like to request your permission to repost some of your
    articles (those that are relevant to our content). In exchange, you
    will benefit from widespread exposure of your material on Seeking
    Alpha and our partners’ sites, including Yahoo! Finance, E*Trade, and
    Reuters, etc. In addition, every article of yours that we repost will
    include a personalized article sidebar with links back to your site,
    blog or business, as well as a link to your Seeking Alpha author page
    (a sample author page: Our
    authors are also eligible for a number of other benefits as well
    Please let me know if you are interested in joining our team of
    contributors, and I’ll let you know exactly how it works. Do feel
    free to contact me at any time with any questions or concerns.

    All the best,
    Rebecca Barnett,
    Contributor Relations Department,
    Seeking Alpha

    Comment by Rebecca — August 24, 2009 @ 12:30 pm

  31. My name is Luc. I blog at the Sceptical Market Observer (use Google to find it). I came to know your blog because I used to follow Brad Sester’s blog. I noticed that, probably because your are very busy, you post irregularly. Yet your seem to have picked up the pace lately. I am finding it myself very difficult to post four times a week as I have done over the past three months. Hockey season will start next week and I will revert back to being a “taxi driver for the kids” for the winter. For that reason I am looking for quality collaborators like you who would post on my blog. I would love for you to contribute your occasional post, even if it is posted on your blog as well. I already have a few collaborators and I am actively looking for others.

    If you would consider the possibility, I would invite you to become a collaborator on the blog. All you have to do is accept my invitation and post your comment. You can keep your anonymity but I personally would like to know who you are before. I am not looking for a consensus view from the different collaborators nor do I want to promote some ideologies. I am only looking for quality work like yours and that of the guys who I ask to join me. I will not edit your text.

    Comment by Luc Vallee — August 25, 2009 @ 2:09 am

  32. Hi Twofish,

    I am a visiting prof at McMaster University, Hamilton, Ontario, Canada, where I am teaching an MSc course on Levy processes and smile modelling. I am hoping to include as many computational examples as possible – in C++, Mathematica etc. It appears from reading your blog and entries on the Wilmott forum that you have done some work on this topic? I would be interested to know if you have any advice on where to find sample code for solving PIDEs, simulating Levy processes by Monte Carlo, and Fast Fourier Transform methods. All help would be gratefully received.
    Kind regards,

    Comment by Ian — September 8, 2009 @ 2:18 am

  33. Do a google for QuantLib. Lots of well written open source code, although PIDE’s and FFT’s aren’t part of it right now. Also, there isn’t a huge amount of work that I know of in Levy processes, and most of the recent work has been done on stochastic volatility models. The problem with Levy models is that that things that people are really interested in (or at least were interested in last year) are hedging regular options with volatility derivatives, and if you assume constant volatility, then you can’t put volatility derivatives into the picture. Also, I do recall people mentioning that there were some aspects of the smile dynamics in Levy processes that didn’t and couldn’t match market behavior, but I forget the details. I think that the problem may be that implied vol curve flattens too quickly as you reach maturity.

    The other thing (and the reason why you can find monte carlo Levy-models easily) but will have trouble finding PIDE’s and FFT code, is that once you have a MC code, then you can use it for anything, and conversely if you have an MC code already, you can put any sort of process you want in there. With FFT’s it’s harder to adapt the code, and for PIDE’s, I don’t think it’s usable outside of Levy processes. So you’ll find lots of MC code, some FFT code, but really no PIDE code that I know of. The other problem is that the big money is in path-dependent exotic options and FD codes don’t handle those well.

    Comment by twofish — September 12, 2009 @ 10:16 pm

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