This is an excercpt from Paul Wilmott’s Frequently Asked Questions In Quantitative Finance:
In the early 1990s I was chatting to a famous quant who’d generously given his name to a fixed-income model. Let’s call this person Dr X, and his model the X model. I asked him what fixed-income model his bank used. I was expecting an answer along the lines of ‘We use the three-factor X model, of course.’ No, his answer was ‘We use the Vasicek model.’ Dr X’s model was at that time pretty sophisticated and so it was rather surprising to hear him admit to using what is esentially the ‘starter’ model.
A decade later I asked another inventor of a then state-of-the-art fixed-income model, let’s call him Dr Y and his model the Y model, whether he used the Y model himself. Dr Y had just moved from a bank, and his reply was the very illuminating ‘No! I work for a hedge fund now, and I need to make money!’ You can figure out the implications.
I then asked another inventor of a popular … Dr Z … His answer: ‘No, we don’t use our model. Have you ever tried to calibrate it? It’s terrible! We only published it to mislead other banks!’ and he then named the model that he used in practice. Again, it was a much simpler model than his own.
The moral of this story is the same moral that we get from many quantitative finance experiences: Do not believe what it says on the tin, do your own modelling and think for yourself.