The big quant boom began in the mid-’80s, when investment firms started attracting venerable names like Emanuel Derman, a South African-born physicist described by Patterson…
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1. Efficiency isn’t everything. Many market mechanisms get knee-jerk justification in the name of the great god Efficiency. Sometimes it’s just a self-serving argument, when…
Comments closedIn the last couple of decades drugstore chains (Duane Reade and CVS) and bookstore chains (Barnes & Noble and Borders) have taken over Manhattan. There…
Comments closedOne of the bugbears of my life is (other) people who behave inconsistently, who say, in effect, without batting an eyelash or turning a hair,…
Comments closedFifty years ago in South Africa, and in England, chemists (pharmacists in the U S of A), ran their own small shops. They were open…
Comments closedThis morning I walked up Columbus Ave on my way to work and passed a Danskin store that had a sign outside that said “Seized…
Comments closedThe other day I wanted to look up some statistics on certain stocks — volatility, correlation with the S&P, etc. I went to yahoo/finance and…
Comments closedI was on an airplane yesterday and was reading the NYR of Books, where the personals are always amusing (Masculin-Feminin) and mostly unrealistic. I like…
Comments closedThe Great Wall The commander-in-chief?so you?ve heard?has begun a mission to fix the system, directly from his office, for us, the citizens in all the…
Comments closedI have been working for the last few months on a book about the way people are compelled to theorize and to build models of the…
Comments closedMoney is human happiness in the abstract, wrote Schopenhauer grimly in the early 19th Century. He then, who is no longer capable of enjoying human…
Comments closedEmanuel Derman expected to feel a letdown when he left particle physics for a job on Wall Street in 1985. After all, for almost 20…
Comments closedThe complex financial models that got us into this mess too often mask human nature behind false limitations of risk Whirring away at the center…
Comments closedWhen I was in grade school we used to build model airplanes out of kits. The frame was made out precut pieces of balsa wood,…
Comments closedToday?s economic turmoil, it seems, is an implicit indictment of the arcane field of financial engineering ? a blend of mathematics, statistics and computing. Its…
Comments closedThis is a noble proposal, but I remain a bit of a skeptic with respect to the ability of a cohort of scientists and economists…
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The truth is that computers are created by humans. They are not superintelligent. Even on Wall Street, they merely count very fast at the behest…
Comments closedSleep is the interest we have to pay on the capital which is called in at death; and the higher the rate of interest and…
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 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 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 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 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 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 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 closedIn this paper we present an arbitrage pricing framework for valuing and hedging contingent equity index claims in the presence of a sto- chastic term…
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