Edward O. Thorp is one of those people who really should be better known. His Wikipedia entry describes him as ‘an American mathematics professor, author, hedge fund manager, and blackjack researcher’ before elaborating that he ‘… pioneered the modern applications of probability theory, including the harnessing of very small correlations for reliable financial gain.’ In fact Thorp’s life has been much more eventful than that introduction would imply. Just in the field of gambling, his impact has been profound: ‘Beat the Dealer’, his book on blackjack, became a million seller and he worked closely with Claude Shannon to build a device, arguably the first wearable computer, to help win at the roulette table. In the world of finance he was a pioneer in the development of mathematical techniques to price options. Arguably1 he was first to discover what is now known as the Black-Scholes option pricing approach. Thorp’s UC Irvine Commencement Address - ‘Think for Yourself’ - given when he was 93 years old, but looking several decades younger, sums up his approach to life. Not content with the theory he would go on to make practical, and lucrative, use of this research. In Thorp’s memoir ‘A Man for All Markets’ - highly recommended - he describes how he set up his own firm, Princeton Newport Partners, to take advantage of these techniques: Princeton Newport Partners (PNP) was a revolutionary idea when we set it up in 1969. We specialized in the hedging of convertible securities - warrants, options, convertible bonds and preferreds, and other types of derivative securities as they were introduced into the market … We invented hedging techniques to further protect our portfolio against changes in interest rates, changes in the level of the overall market, and the catastrophic losses that can occasionally occur … This nearly total reliance on quantitative techniques was unique, making us the earliest of a new breed of investors who would later be called quants, and who would...