123 - Madoff's Mathematics

Two academics have released a paper on the mathematics of Bernard L. Madoff's alleged split/strike conversion derivatives strategy, the underlying foundation of his investment marketing to prospective clients. It should make very interesting.

I trust that investment market regulators will be incorporating this mathematics into their analytical models for hedge fund compliance.

http://www.iijournals.com/doi/abs/10.3905/JOD.2009.17.1.062