My Life as a Quant
Reflections on Physics and Finance
Published on 16. September 2004
Book
Hardback
304 pages
978-0-471-39420-4 (ISBN)
Description
Emanuel Derman was one of the first physicists to move to Wall Street, and his career paralleled the growth of quantitative trading over the past twenty years. In My Life as a Quant, he traces his transformation from ambitious young scientist to managing director and head of the renowned Quantitative Strategies group at Goldman, Sachs & Co.
Derman's tale recounts his adventures with quants, traders and other high fliers on Wall Street as he became the best-known quant in the business. He describes the struggles of research and his interactions with an assorted cast of famous scientists. He relates his impressions of some of the most creative minds on Wall Street, including Fischer Black, with whom he collaborated on the widely used Black-Derman-Toy model of interest rates. Throughout his story he reflects on the appropriate way to apply the refined methods of physics to the hurly-burly world of markets and the people that inhabit them.
Derman's tale recounts his adventures with quants, traders and other high fliers on Wall Street as he became the best-known quant in the business. He describes the struggles of research and his interactions with an assorted cast of famous scientists. He relates his impressions of some of the most creative minds on Wall Street, including Fischer Black, with whom he collaborated on the widely used Black-Derman-Toy model of interest rates. Throughout his story he reflects on the appropriate way to apply the refined methods of physics to the hurly-burly world of markets and the people that inhabit them.
Reviews / Votes
"engaging" (CFO Europe, October 2005) "...tells wonderful stories of trying to bring higher mathematics to the Goldman Sachs equity-derivatives trading desk." (Grant's Interest Rate Observer, Dec. 17, 2004) "compelling" (Financial Times, November 18, 2004) "literate and entertaining memoir" (Business Week, November 15, 2004)More details
Product info
gebunden
Edition
1. Auflage
Language
English
Place of publication
New York
United States
Publishing group
John Wiley and Sons Ltd
Target group
Professional and scholarly
Dimensions
Height: 23.8 cm
Width: 16.5 cm
Thickness: 2.6 cm
Weight
482 gr
ISBN-13
978-0-471-39420-4 (9780471394204)
Schweitzer Classification
Other editions
Additional editions
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12/2007
Wiley
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E-Book
12/2007
Wiley
€14.99
Available for download
E-Book
09/2004
Wiley
€14.99
Available for download
Person
Emanuel Derman has a PhD in theoretical physics from Columbia University. He is the author of numerous articles in elementary particle physics, computer science, and finance, and a coauthor of the widely used Black-Derman-Toy interest rate model and the Derman-Kani local volatility model. After an initial career in academic life and a stint at AT&T Bell Laboratories, he moved to Goldman, Sachs & Co. in 1985, where he became a managing director in 1997. Among his many awards and honors, he was named the SunGard/IAFE Financial Engineer of the Year in 2000 and was appointed to the Risk Hall of Fame in 2002. He is currently the Director of the Program in Financial Engineering at Columbia University, a columnist for Risk magazine, and a risk advisor to an investment management company. He lives in New York City.
Content
Prologue: The Two Cultures.
Physics and finance. What quants do. The Black-Scholes model. Quants and traders. Pure thought and beautiful mathematics can divine the laws of physics. Can they do the same for finance?
Chapter 1. Elective Affinities.
The attractions of science. The glory days of particle physics. Driven by ambitious dreams to Columbia. Legendary physicists and budding wunderkinder. Talent vs. character, plans vs. luck.
Chapter 2. Dog Years.
Life as a graduate student. Wonderful lectures. T.D. Lee, the brightest star in the firmament. Seven lean years. Getting out of graduate school, only half-alive.
Chapter 3. A Sort of Life.
The priesthood of itinerant postdocs. Research isn't easy. Almost perishing, then publishing. The delirious thrill of collaboration and discovery.
Chapter 4. A Sentimental Education Oxford's civilized charms. One physics paper leads to another. English idiosyncrasies. The anthroposophists.
Chapter 5. The Mandarins.
Research and parenthood on New York's Upper East Side. A good life, but. the difficulties of a two-career family.
Chapter 6. Knowledge of the Higher Worlds.
A two-city family. New age meditations. Karma. Goodbye to physics.
Chapter 7. In the Penal Colony.
The world of industry - working for money rather than love. The Business Analysis Systems Center at Bell Labs. A small part of a giant hierarchy. Creating software is beautiful.
Chapter 8. Stop-Time.
Wall Street beckons. Interviewing at investment banks. Leaving the Labs.
Chapter 9. Transformer.
The Financial Strategies Group at Goldman, Sachs & Co. Learning options theory. Becoming a quant. Interacting with traders. A new cast of characters.
Chapter 10. Easy Travel To Other Planets.
The history of options theory. Meeting and working with Fischer Black.The Black-Derman-Toy model.
Chapter 11. Force of Circumstance.
Manners and mores on Wall Street. The further adventures of some of my acquaintances. Volatility is infectious.
Chapter 12. A Severed Head.
A troubled year at Salomon Bros. Modeling mortgages. Salomon's skill at quantitative marketing. Mercifully laid off.
Chapter 13. Civilization & Its Discontents.
Goldman as home. Heading the Quantitative Strategies Group. Equity derivatives. The Nikkei puts and exotic options. Nothing beats working closely with traders. Financial engineering becomes a real field.
Chapter 14. Laughter in the Dark.
The puzzle of the volatility smile. Beyond Black-Scholes: the race to develop local-volatility models of options. The right model is hard to find.
Chapter 15. The Snows of Yesteryear.
Wall Street consolidates. Clothing goes casual. I move from equity derivatives to firmwide risk. The bursting of the internet bubble. I take my leave.
Chapter 16. The Great Pretender.
Full circle, back to Columbia. Physics and finance redux. Different endeavors require different degrees of precision. Financial models as gedanken experiments.
Acknowledgments.
Index.
Physics and finance. What quants do. The Black-Scholes model. Quants and traders. Pure thought and beautiful mathematics can divine the laws of physics. Can they do the same for finance?
Chapter 1. Elective Affinities.
The attractions of science. The glory days of particle physics. Driven by ambitious dreams to Columbia. Legendary physicists and budding wunderkinder. Talent vs. character, plans vs. luck.
Chapter 2. Dog Years.
Life as a graduate student. Wonderful lectures. T.D. Lee, the brightest star in the firmament. Seven lean years. Getting out of graduate school, only half-alive.
Chapter 3. A Sort of Life.
The priesthood of itinerant postdocs. Research isn't easy. Almost perishing, then publishing. The delirious thrill of collaboration and discovery.
Chapter 4. A Sentimental Education Oxford's civilized charms. One physics paper leads to another. English idiosyncrasies. The anthroposophists.
Chapter 5. The Mandarins.
Research and parenthood on New York's Upper East Side. A good life, but. the difficulties of a two-career family.
Chapter 6. Knowledge of the Higher Worlds.
A two-city family. New age meditations. Karma. Goodbye to physics.
Chapter 7. In the Penal Colony.
The world of industry - working for money rather than love. The Business Analysis Systems Center at Bell Labs. A small part of a giant hierarchy. Creating software is beautiful.
Chapter 8. Stop-Time.
Wall Street beckons. Interviewing at investment banks. Leaving the Labs.
Chapter 9. Transformer.
The Financial Strategies Group at Goldman, Sachs & Co. Learning options theory. Becoming a quant. Interacting with traders. A new cast of characters.
Chapter 10. Easy Travel To Other Planets.
The history of options theory. Meeting and working with Fischer Black.The Black-Derman-Toy model.
Chapter 11. Force of Circumstance.
Manners and mores on Wall Street. The further adventures of some of my acquaintances. Volatility is infectious.
Chapter 12. A Severed Head.
A troubled year at Salomon Bros. Modeling mortgages. Salomon's skill at quantitative marketing. Mercifully laid off.
Chapter 13. Civilization & Its Discontents.
Goldman as home. Heading the Quantitative Strategies Group. Equity derivatives. The Nikkei puts and exotic options. Nothing beats working closely with traders. Financial engineering becomes a real field.
Chapter 14. Laughter in the Dark.
The puzzle of the volatility smile. Beyond Black-Scholes: the race to develop local-volatility models of options. The right model is hard to find.
Chapter 15. The Snows of Yesteryear.
Wall Street consolidates. Clothing goes casual. I move from equity derivatives to firmwide risk. The bursting of the internet bubble. I take my leave.
Chapter 16. The Great Pretender.
Full circle, back to Columbia. Physics and finance redux. Different endeavors require different degrees of precision. Financial models as gedanken experiments.
Acknowledgments.
Index.