Wow. What staggeringly middle-brow tripe. This piece demonstrates the intellectual limitations of technical fields very well. No one cares that the volatily smile/smirk is better than what was used pre-1987. The fundamental idea is that the confidence that these formulas give is a chimera. I think you have done a more concise job of supporting Taleb ideas than he has. But you were not intending satire, or were you?