Sorry for not being able to type in Chinese. Here's my two cents: 1. Model is always an approximation to the reality. No model is perfect. That's why we call it a model. Good traders always take the output of the model with a pinch of salt. In fact, lots of derivatives traders are originally from the quant team. They even have a deeper understanding of the assumption and the limit of the model than junior quant. BTW, before the model can be implemented at the trading desk, we need to do lots of tests to "torture" the model to make sure that it is OK for trading. Though every model has its own limit, an experienced trader will know how to deal with this. That's the Know-How. I am not saying that those people would not make mistake. But a good trader will always do his/her own best to survive on the market. 2. For those people who may think that the information structure in our measure- theoretic probability theory-filtration-is too simple to explain the delicacy of the information flow, you may want to take a look at Shafer and Vovk "Probability and Finance-It's only a game!" As they have already built up a game-theoretic framework for CAPM and BSOPM. --

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