The math for his book is needed in Silent Risk.

https://drive.google.com/file/d/0B8nhAlfIk3QIR1o1dnk5ZmRaaGs...

So he became independently wealthy after working only seven years @ wallstreet after his family lost their fortune in the lebanese civil war, he's rumored to be worth 30-50m minimally and possibly much more. He pretty much gamed his life right, and that's fairly impressive. Good epistemology if you ask me.

Empirica shut down because Nassim had throat cancer, if you look at how much Universa is now worth (Spitznagels fund) that's a good proxy for his techniques as it was made with the Exact same people in Nassim's fund.

Uh no, Edward Thorpe had one of the highest returns on wall street ever and was actively researching what Taleb was talking about, Thorpe absolutely knows what he was talking about, i've seen him say it in at least two interviews. Thorpe's quote is quoted at length is bottom.

For tail events(black swan events). Paul Embrechts and C. Kluppelberg cite him, she cites him in her recent book on Risk and i'm sure she has cited him elsewhere.

Robert Frey teaches Nassim's courses alongside him and was James Simon's partner at Renaissance technologies(their medallion fund makes 71% year over year 92-2014 pre-fees) and 35-41% after fees. Frey is worth 50m himself and stopped participating in that game as he thought he had enough money and became a professor at Stony Brook.

He knows exactly what he is talking about. Please stop trying to make someone reputable who absolutely is.

> Margaret Towle: In that regard, it does sound like you are
working on some interesting projects. What are some of the
areas, or the next problem, that you plan on tackling?

> Edward Thorp: Most recently I’ve been thinking about
“black swan” 21 insurance. Just to use the terminology from
Nassim Taleb’s famous book, there are two worlds you can
think about. One he called the world of “Mediocristan” in
which standard statistics—the kind of statistics you see in the physical sciences, things that behave fairly reasonably—apply.
Th e log-normal world of Black-Scholes is Mediocristan.
Th en there’s the world of “Extremistan,” where you get fat
tails 22 and black swans and huge upside or downside moves
periodically—the crash of 1987, the 2008–2009 period, and
so forth. Th e question I’ve been thinking about is a simpl
one: Suppose that you can construct a portfolio that has
three things in it—Treasury bills, a stock index, and options on that stock index; can you use the options to get a better ayoff structure than if you didn’t use options in that mix? Traditional investing, that is, a long index with any excess money going into Treasury bills just for super simplicity,
would be modifi ed by adding options. Th ey could be way out of the money, they could be in the money, or whatever, and you have the constraint that you can’t lose everything. So you can’t put it all in options because if the market went down enough, you would lose all that you had invested. You just buyan option at Black-Scholes prices, let the clock run for one time period, see what happens, and do it again. Th en you ana-lyze how the short-term and long-term payoff characteristics
behave. I’m in the middle of looking at that now to see if we can get anything better by using options. It’s been very inter-esting so far, but we’re not done.