Then I called Fischer Black, who was now at Goldman Sachs, after hearing that he wanted to build a computerized analytic system for trading warrants and, especially, convertible bonds. Our proven state-of-the-art system was for sale, so he flew out and spent two days with Steve and me learning how it worked. He took detailed notes but finally said that it would be too costly to convert the code to run on their computers.
Thorp isn’t this naive is he? Guess he likes nerding out, and didn’t need an IP sale to retire well.
