The key result of options pricing is that if you hedge at implied volatility, then over the next instant dt a long options position produces…
Comments closedAuthor: Emanuel Derman
A few months ago I wrote the following about how to justify working in finance: “Some people have jobs that very clearly benefit humanity: doctors,…
Comments closedSomewhere I seem to think I once read the line “Karma is the mechanical expiation of sin.” I mentioned it in my book and seemed…
Comments closedThere was an article by Richard Dawkins in last Friday’s WSJ , which was itself a condensed version of an L.A. Times article of Jan…
Comments closedI got a fair number of answers to the question of what single sentence would best pass on the essence of quantitative finance to the…
Comments closedMany years ago I saw Louis Malle’s movie ‘My Dinner with Andre.’ The whole movie does indeed take place over dinner, more or less in…
Comments closedThere’s an interesting review of Dawkins’s “The God Delusion” in the latest NY Review of Books, by H. Allen Orr, a professor of biology at…
Comments closedA couple of posts ago I was pondering what single sentence about quantitative finance would best tell people in the future how to think about…
Comments closedI was having a conversation about model risk the other day, and I think it’s a misnomer. Risk to me means the possibility that something…
Comments closedI was in Geneva at a Risk Conference earlier this week, and one of the talks I heard about behavioral finance posited that the most…
Comments closedSome time in the early 1970s Nature magazine had an article about people whose names matched their occupations. There was a famous neurology textbook “Diseases…
Comments closedI was idly watching bits of ‘Sleepless in Seattle’ on TV the other night. There was one scene where Tom Hanks flies to NYC to…
Comments closedCarolyn Porco, the Boulder scientist I mentioned two blogs ago who sees science as everyone’s solace for the universe’s apparently dispassionate behavior towards humans and…
Comments closed(After Goethe) The fluorescent tubes Are dim. In all the cubes You cannot glimpse One screen aglow. Even the Spanish cleaning lady’s dined. One last…
Comments closedAlong with Fischer Black, Emanuel Derman is one of the people responsible for molding Goldman Sachs? reputation of the late eighties and early nineties. Derman…
Comments closedIn his review of the recent books by Smolin and Woit on the status of string theory, David Lindley writes: (see www.wilsoncenter.org……): “The problem with…
Comments closedThere is this sudden rash of books by famous scientists suggesting we extirpate religion from society, starting with Daniel Dennett ‘s “Breaking the Spell: Religion…
Comments closedLanding at San Francisco Airport recently I saw an Air New Zealand plane. What immediately struck me was the tail logo: so serious, so proud,…
Comments closedPeople seem to believe that the ability to talk developed in order to improve communication beyond mere gestures and grunts. But perhaps the ability to…
Comments closedI spent the last week at Stanford University, about which more later. As I walked through Newark airport to the “Passengers Only” security check, I…
Comments closedI wrote a couple of days ago about how quantitative finance keeps working in the same paradigm — pick a process, calibrate it to liquid…
Comments closedI heard some very good seminars in the last few days on credit modeling. But after my excitement at understanding something I didn’t understand before,…
Comments closedThere’s an interesting article in the latest New York Review of Book by John Searle, reviewing the book Seeing Red: A Study in Consciousness by…
Comments closedI was walking up to Columbia this afternoon when I saw an armored truck outside a Duane Reade, with a couple of beefy guys standing…
Comments closedAt lunch today with some colleagues, my cellphone rang and I recognized the number of a doctor I ceased going to a couple of years…
Comments closedMarek Musiela gave a very interesting talk at Columbia the other evening about trying to use a derivatives framework to handle optimal asset allocation. A…
Comments closedSomething paradoxical occurred to me. Consciousness works best in the service of unconsciousness. What I mean is that if you play football, tennis, the piano,…
Comments closedThis is a very old paper we wrote in Quantitative Strategies concerned with how to value options on stocks that settle in the old European…
Comments closedThe taxi driver the other day was tuned to a station playing Maggie May from the Seventies. When I came home I downloaded it from…
Comments closedYesterday morning when I was having lunch I opened the refrigerator door and a moth that had somehow managed to get inside began flying furiously…
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