I hadn't yet heard of James Simons. The rumor I heard was that Simons liked to hire mathematical physicists from Russia.
I had no way to go to Wall Street and already know all about everything they they were doing. The martgingale convergence theorem, measurable selection, power spectral estimation, sure, all about Wall Street, no.
When I was in graduate school, people who understood both measure theory and martingales, Markov processes, etc. were like hen's teeth. Or, sure, essentially every pure math Ph.D. knows measure theory, but curiously, at least in the US, they rarely take a course in graduate probability. It's tough for me to believe that many physics students actually work at all carefully through measure theory. So, hen's teeth.
So, I thought that I had relatively good qualifications. And since I'd read E. Thorpe's book, Wall Street was one of my goals. But I couldn't get the time of day from Wall Street.
Finally, with the letter back from Fisher Black, I gave up. I mean, good grief, a lot of the interest is in the Brownian motion approach to the Dirichelet problem and Black-Scholes, and that was Fisher Black.
In a sense I can't fault Wall Street: A lot of people there are making a lot of money now, with, usually without, measure theory, etc., so clearly they don't need me.
Once again, over again, one more time, in the US the main way to make money is to own a business and make it valuable, not to work for someone else. So, I'm doing a start-up. Based on some mathematics, including measure theory? Yes. Having to do with Wall Street? No.
Right, LTCM: So, let's see, independent increments with the same distribution and not much more and satisfy the central limit theorem and, thus, get a Gaussian process, really, an approximation to Brownian motion. So, ..., and LTCM should have worked, right? Wrong! Those assumptions are only approximately correct, and moreover need some work on the rate of convergence to a Gaussian, with good attention to the tails, and, there, tilt. Boom. Someone kicks over a bucket of fish heads in Asia and ..., down goes LTCM.