1. This scribble is my signature on the electronic credit card signature-reader at Duane Reade pharmacy. The device has a pathetic little screen, deeply scratched…
Comments closedAuthor: Emanuel Derman
What is it about the phrase “A Mighty Servant That Never Sleeps” that makes it mildly blasphemous? I think it’s the “mighty” before the “servant”.…
Comments closedThere’s an article in the Sunday NY Times Business Section and one in the Economist. I have to say I’ve never seen anything really comforting…
Comments closedDriving on the Van Wyck the other day, I was drafting a giant tractor-trailer, and on its rear in big letters was the company name,…
Comments closedEileen Lee talks to the quant?s quant about his qualitative journey into quantitative finance. He is the coauthor of the Black-Derman-Toy interest rate model and…
Comments closedThis is an unconsidered piece. I’m a little tired of reading about what a travesty Black-Scholes is. First of all, the real trouble isn’t Black-Scholes,…
Comments closedI put some of my lecture notes, in casual form, on my website at www.ederman.com…… I’ll add to them as my class progresses.
Comments closedAs I continue to look through applications to graduate programs, I keep running into the general degradation (that’s the right word) of the whole grading…
Comments closedI’ve been spending a fair amount of time looking at applications for admission to financial engineering programs. It’s mind-broadening to see how many reasonable students…
Comments closedI’ve never looked at facebook.com……, though I know what it is, but periodically I get people emailing me with encouragement to join facebook and then…
Comments closedEmanuel Derman is a professor at Columbia University and director of their program in financial engineering. His book, My Life as A Quant: Reflections on Physics…
Comments closedI went to see “I’m Not There”, a movie about Bob Dylan’s double. It’s a bit long, but what’s impressive in the movie, besides his…
Comments closedKerry Back’s excellent Springer book entitled “A Course in Derivative Securities” makes a remark about the numeraire/martingale way of looking at options pricing: “It seems…
Comments closedWhen you stay at cheap hotels, you get no cotton robe at all, not even a synthetic one. When you stay at good hotels, they…
Comments closedGAIM recently had an all-day conference in New York City on hedge fund replication. There are three approaches, and I’m a little sceptical/skeptical about them…
Comments closedI heard a talk entitled “Financial Engineering: An Oxymoron” by Jim Grant tonight at our NYQF seminar. It reminded me of something I once wrote…
Comments closedis the hobgoblin of little minds. (Emerson). Excuse me, but, on a recent trip I went into the mens’ room at the airport. The toilet…
Comments closedThe New York Times on Oct 3 had an article about the miseries of being a graduate student, and how universities were trying to shorten…
Comments closedOnce I visited a doctor who had a sign in the waiting area saying “Do not arrive 15 minutes before your appointment.” I never did.…
Comments closedIn the past couple of months I visited a bunch of fundamentally driven Long/Short Equity hedge funds. It’s not a very profound observation, but one…
Comments closedA few weeks ago I was part of a sort of sociology workshop about economic valuation under uncertainty. There I listened again to Dr Taleb…
Comments closedNormally I?m a pretty reticent person, but I have to say that I?m quite unabashedly pleased to be here tonight. I?m very grateful to the…
Comments closedIt always seemed to me, and recent occurences seem to confirm it, that most algorithmic trading strategies are long volatility but short volatility of volatility.
Comments closedA lockup period for investment in a hedge fund is a time period after making the investment during which the investor cannot freely redeem his…
Comments closedWall Street Journal, August 2007 In 1985, when I left academia and began putting my physics training to work on Wall Street, I talked eagerly…
Comments closedI was having dinner with someone the other evening who commented that there were many people who didn’t seem talented or industrious when he knew…
Comments closedPeople who haven?t lived and died by financial models often have difficulty understanding how they are used. In physics or engi- neering, a theory predicts…
Comments closedAccording to the Friday June 23 NY Times, “Research Finds Firstborns Gain the Higher IQ,” about three points higher in the eldest child than in…
Comments closedDoug Hofstadter’s book about Godel’s theorem, “I am a Strange Loop”, points out that mathematicians before after Hilbert and Russell and Whitehead thought that in…
Comments closedI keep becoming more aware of contradictions and of the inability of reason to cope with them or reconcile them. On my way to the…
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