THE FIRST COUPLE DAYS of rehearsal were extremely, extremely intimidating," says the actor Jonah Hill of working on set with director Martin Scorsese and costar Leonardo DiCaprio for The Wolf of Wall Street. "I definitely felt like I was invading somebody else's space. To watch a director and an actor have the connection that Marty and Leo have is unlike anything I've ever seen."

In theaters next month, the glitzy, audacious blockbuster is based on real-life rogue trader Jordan Belfort's memoir of his 1990s pump-and-dump flameout, during which he launched the infamous Stratton Oakmont "boiler room" brokerage, inflicted over $200 million of losses on investors and sunk a 167-foot yacht—all on his way to a federal indictment for securities fraud and money laundering and 22 months in prison. (Belfort is currently working toward building a career as a motivational speaker and paying $110 million back to investors.) The film will be the fifth collaboration between Scorsese and DiCaprio, following Gangs of New York, The Departed, The Aviator and Shutter Island. And by all accounts, filming it was an act of deep mutual trust: their most adult, debauched project to date. "[Our relationship has] evolved in the sense that with every new picture, we get to know each other a little better, trust each other a little more and go a little further," says Scorsese.

"It's gotten better and better as the years have gone by," says DiCaprio, who notes that the film is their most improvisatory, "simply because the trust level's there."

Ben Younger's tightly focused 2000 drama Boiler Room covered a sliver of Belfort's story, but if that low-budget film was a penny stock, The Wolf of Wall Street is pure blue chip. To capture the criminal spectacle of the era, the duo aimed to make a film every bit as excessive as Belfort's ego. However, it takes money to make movies about money: vintage Lamborghinis, sprawling casts and Manhattan locations don't come cheap. "It was a very difficult movie to finance," says DiCaprio. "It's an R-rated film, and it needed to have a certain amount of scale and scope."

Arguably Hollywood's most bankable star, DiCaprio spent over five years developing the film—and, somewhat ironically, convincing Wall Street financiers to fund what he sees as a portrait of "the real epitome of American greed." The long development period may have actually improved the film, since it allowed DiCaprio to spend more time with Belfort, who was "incredibly open about his life, especially the most embarrassing parts," says DiCaprio. "I spent a long time with Jordan. I interviewed him incessantly and tried to pull out every detail I possibly could. We incorporated a lot of other stories that weren't even in the book into the movie."