When the publisher approached me a few years ago with the proposal of organizing and editing an encyclopedia of quantitative finance, I did not know what to think at first.
Unlike many of the “hard sciences” which are endowed with their own encyclopedias, quantitative finance—concerned with the mathematical modeling of financial markets—is still a young, developing field with ill-defined and rapidly changing frontiers. Simply defining just what such a reference work should cover was not a trivial task and subject to some controversy. Senior colleagues wisely counseled against undertaking such a Herculean chore. After all, if history is of any guide, editing an encyclopedia can be a perilous enterprise: Denis Diderot, who damaged his eyesight editing and proofreading the numerous articles of the Encyclopédie, ended up being hated by many of his contemporaries, shunned by his colleagues, and embroiled in controversy for his editorial work—both for what he did publish and for what he did not. . .
On the other hand, the time seemed ripe for undertaking such a project. Quantitative finance, the birth of which is often associated with the doctoral thesis of Louis Bachelier in 1900, had just celebrated its hundredth anniversary. It had established itself as an academic discipline with an active research community and several research journals. Graduate programs in mathematical finance and financial engineering were churning out a growing population of freshly graduated “quants”, ...