Daniel Cassidy is a Professor of Engineering Physics at McMaster University in Hamilton, Ontario, Canada. His principal research interest is diode laser physics and applications. Dan has taught many courses and in particular courses in statistics with direct relevance to finance and option pricing. Two of Cassidy's graduated PhD students work in the financial sector, and these former students (and now colleagues) interested him in applying the statistical analysis and modelling of his experimental work to problems in finance. On recent work and publications : "One can show from first principles that price truncation is not an ad hoc solution. It uses the concept of conditional probability, which is not an ad hoc concept. If one believes that stock prices of infinity are physically possible, then one must believe that the total wealth in the world is unlimited. In practice, returns that approach infinity are not seen. Our approach treats the market as a physical system and truncation (of fat-tail distributions) is consistent with the observed behaviour of that system."
"I don't like the truncation approach"