Valuable lessons can be learned from a trip down memory lane.

When I (Andreas) was at the same age that today’s traders retire (or, alternatively, ruin a bank), the life of a  numerical mathematician was different. A reasonable computer cost $100,000; it had 16 MB of memory, and the preferred language for numerical applications was FORTRAN. There was no Internet as we know it today, no horrible graphic libraries, and Paul Wilmott was wearing his hair in a ponytail.

To do quantitative finance today, you need a sound knowledge of mathematical models in finance, modern algorithms in numerical mathematics, and the weaknesses and strengths of different programming languages and their paradigms – or, at least, you should have a team of people having this knowledge jointly.

The history of UnRisk is that of being at the right places at the right times. In the mid-1990s, the time was ripe for developing PC- (and Windows-) based software tools for computational finance, and, being lucky, we were asked to develop some convertible bond tools for a London-based trading desk.

To get the whole article, please download the article A Short History Of Being Lucky.