Nothing personal, but more people with appropriate or inappropriate names: Don Rich and Don Chance, professors and authors of various papers on options pricing. The…
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In most schools, you can take some courses Pass/Fail rather than for a grade. If you pass, the course then it counts towards your degree,…
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 closedWhat follows is not in very good taste. In Dec 2006 I wrote the following entry: _____________________________ Some time in the early 1970s Nature magazine…
Comments closedSomeone pointed me to a speech by Paul Volcker in which he says: ‘A year or so ago, my daughter had seen something in the…
Comments closedOn Charlie Rose last night, Charlie played straight man to Larry Summers. “What economist has influenced you most?” Charlie asked. “Keynes,” Summers answered, trying to…
Comments closedThe interesting excerpt below is from a 1950s letter from Normal Mailer to William Styron. “I didn’t write[The] Naked [and the Dead] because I wanted…
Comments closedWhen Moses went up to Mt Sinai to get the Ten Commandments, he left his brother Aaron in charge of the children of Israel. While…
Comments closedPreface A spectre is haunting Markets ? the spectre of illiquidity, frozen credit, and the failure of financial models. Beginning with the 2007 collapse in…
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…
Comments closedWhat is the purpose of modelling, in any field? Clearly, it is divination whether foretelling the future, or controlling it. So my task here is…
Comments closedWhat is the purpose of modelling, in any field? Clearly, it is divination whether foretelling the future, or controlling it. So my task here is…
Comments closedjpm-reflections_on_fischer I first met Fischer in 1986, several months after I came to work in Fixed Income Research at Goldman, Sachs & Co. I knew…
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