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Comments closedCategory: Finance
As physics students at the liberal University of Cape Town in apartheid-era South Africa, we looked down on engineering students. They had a reputation for…
Comments closedIntroduction to the Japanese Edition of My Life as a Quant” I first visited Tokyo in 1990, when I worked at Goldman, Sachs & Co.…
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How well does options pricing theory really work, and how dependent is it on the notion of dynamic replication? In this note we describe what…
Comments closedHas Quantitative Finance reached its limits? I intend to answer this from a principled point of view, in the same spirit as someone might answer…
Comments closedMy Life As A Quant: Reflections on Physics and Finance Financial Engineering News is pleased to publish this excerpt from the new book by Dr.…
Comments closedDerman, who remarks wryly that about 10 per- cent of his projected life span was spent getting a Ph.D. at Columbia, wrote his thesis on…
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Comments closedjobs.riskcolumn Emanuel Derman gives careers advice to those seeking a job in today’s finance markets.? You’ll have to have plenty of education, and intuition…
Comments closedThey used me as a model for a fictional professor of sports statistics
Comments closedWhere the Betas are Zero and the Excess Returns are All Above Average Recently I became interested in ‘alternative investment management’, the nowfashionable euphemism (NFE)…
Comments closedIt’s All Greeks to Me With my scientific PhD, I find option theory easy as π. I have studied heat conduction and quantum mechanics…
Comments closedTrading Volatility as an Asset FULL Volatility is a useful trading hedge against all kinds of disasters. How can you trade it? Calls and puts…
Comments closedThe Problem the Volatility Smile Amsterdam Though the smile first appeared in options markets in 1987, I had it brought to my attention in Tokyo…
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Comments closedThese are paranoid times in America, but justifiably so, and when I became Chairman of the Award Committee that eventually nominated Jon Ingersoll to be…
Comments closedBy Nina Mehta Emanuel Derman was one of the early rocket scientists to make the shift to finance. He received his Ph.D. in theoretical particle…
Comments closedThere is an unfortunate strain of pedantry running through the teaching of quantitative finance, one involving an excess of abstraction, formality, rigour and axiomatisation that…
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Comments closedderman intrinsic time The perception of time, risk and return during periods of speculation The second hypothesis concerns the perception of time. I conjecture that…
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Comments closedSURVEY: INTERNATIONAL FINANCE Bubble trouble May 16th 2002 From The Economist print edition All this gives rise to various dangers. An ever-tighter squeeze on the…
Comments closedSURVEY: INTERNATIONAL FINANCE Bubble trouble May 16th 2002 From The Economist print edition Why do so many people cling so hard to the notion of…
Comments closedReal-World Quantitative Finance (A Poor Man’s Guide To What Physicists Do On Wall St.) Models in Physics
Comments closedPrinciples.Risk INTRODUCTION Trading desks in many product areas at investment banks often have substantial positions in long-term or exotic over-the-counter derivative securities that have been…
Comments closedWhen I started working on Wall Street, I simply assumed it made good sense to apply the techniques of physics and applied mathematics to financial…
Comments closedQuantitative financial modelling seems to employ both the language and techniques of physics, but how similar are the two disciplines? Emanuel Derman comments on the…
Comments closedNEW YORK, September 7, 2000 SunGard Trading and Risk Systems and the International Association of Financial Engineers (IAFE) today announced that Emanuel Derman has been…
Comments closedI’m very pleased and very honored to be able to introduce Dr Oldrich Vasicek here today on his induction into the Derivatives Hall of Fame.…
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