I 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…
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In 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 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 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 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 quant shops want malleable intellect untainted by Wall Street dogma — i.e., not buy, sell, or hold” types. “They’re not really looking to make…
Comments closedI was thinking some more about what makes a good theory. In the natural sciences, a good theory is one that makes accurate predictions. There,…
Comments closedEveryone always wants to know what makes a good model. One way to think about it is that a good model takes some already valid…
Comments closedA student at another university recently sent me a question which I’ve often wondered about myself: “Any introductory economics course in college will introduce the…
Comments closedWe had the orientation for new students at the Columbia FE program yesterday, and I listened to several of our past students talk about how…
Comments closedWell, not quite myths, but objections. I don’t like axiomatization in finance. I believe you should learn things more sloppily the first time around, and…
Comments closedMany interviews now concentrate on giving people technical and mathematical quizzes. You can get books to help prepare for them. Quizzes are good at finding…
Comments closedThe Legacy of Fischer Black. Edited by Bruce N. Lehmann. Oxford University Press, Inc. 198 Madison Avenue, New York, New York 10016, USA. 306 pages,…
Comments closed? In implementing models, one of the most common mistakes I’ve made, and seen others make, is to check them sloppily. For example, suppose you…
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Comments closedAs 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.…
Comments closedHow 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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