What on earth does Cricket have to do with credit derivatives?

My disappointment of watching England do so well in the cricket this morning was tempered by one exciting insight I had: Batting scores must approximately follow a Poisson distribution. That is, you could model a batsman's score by saying that for each ball, there's a certain chance that he'll get out. If he doesn't get out, he'll make some runs. Keep repeating this over a large number of deliveries and the batsman's score must closely resemble a Poisson distribution.

Of course, this is hardly and exact model - for one thing, the probability of defaulting varies with time - for the first few deliveries when they are not "settled", and much later when they start to get tired and their concetration lapses, the probability of getting out will be higher.

Anyway, a Poisson distribution is also often used as a simple model of the "time to default" of a company (if the company defaults before the maturity of the bond then you lose whatever cash flows were still going to be paid out).

Whereas, on the other hand, golf scores are much more likely to follow a Gaussian distribution...

A friend at work lent me their copy of "Calculus" by Michael Spivak. This book is even better than Karl's Calculus (although Karl's website is free and available online).

I had always thought that a mathematics book that pretty much proceeded with a statement of theorems followed by their proofs would be a dull read, and somewhat incomprehensible. On the contrary - because he proves and/or defines everything in precise detail, paying careful attention to using exactly the correct notation, he takes nothing for granted about what you, as the reader, might already know. To give you an idea of how fundamental it gets, he starts by simply defining the properties of numbers. The first, is that a + (b + c) = (a + b) + c.

So all this actually makes the book incredibly comprehensible. I'm still toiling through it. Definitely recommended.