Nassim Nicolas Taleb

Lebanese-American, trained as a statistician, traded for various high-profile financial houses, became independently wealthy due to profits made on trades during the 1987 crash, has subsequently written a number of books on the tendency of modern quantitative finance to underestimate the frequency of rare events, with disastrous consequences.

Library of Economics & Freedom, interview by Russ Roberts

another podcast

NYTimes article by Malcolm Gladwell on Taleb and Victor Niederhoffer.