My Life As A Quant
Reflections On Physics And Finance
(Sprache: Englisch)
As investment firms increasingly rely on advanced quantitative financial models to generate profits, large "quant" departments staffed by former physicists, mathematicians, and computer scientists have become routine on Wall Street. Emanuel Derman, one of...
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Klappentext zu „My Life As A Quant “
As investment firms increasingly rely on advanced quantitative financial models to generate profits, large "quant" departments staffed by former physicists, mathematicians, and computer scientists have become routine on Wall Street. Emanuel Derman, one of the first physicists to move to Wall Street, is its most well-known quant whose career path parallels the growth of quantitative modeling. My Life as a Quant traces his pilgrim's progress from ambitious academic scientist to managing director and head of the renowned Quantitative Strategies group at Goldman, Sachs & Co., one of the world's most elite investment firms. Derman reveals his experiences learning to adapt the methods of science to finance and working with some of the finest minds in the business, including Fischer Black (with whom he developed the widely used Black-Derman-Toy model of interest rates). He also recounts his adventures with other quants, traders, and other high fliers on Wall Street.
As investment firms increasingly rely on advanced quantitative financial models to generate profits, large "quant" departments staffed by former physicists, mathematicians, and computer scientists have become routine on Wall Street. Emanuel Derman, one of the first physicists to move to Wall Street, is its most well-known quant whose career path parallels the growth of quantitative modeling. My Life as a Quant traces his pilgrim's progress from ambitious academic scientist to managing director and head of the renowned Quantitative Strategies group at Goldman, Sachs & Co., one of the world's most elite investment firms. Derman reveals his experiences learning to adapt the methods of science to finance and working with some of the finest minds in the business, including Fischer Black (with whom he developed the widely used Black-Derman-Toy model of interest rates). He also recounts his adventures with other quants, traders, and other high fliers on Wall Street.
Inhaltsverzeichnis zu „My Life As A Quant “
From the contents:Prologue: The Two Cultures. Physics and finance. What quants do. The Black-Scholes model. Quants and traders. Pure thought and beautiful mathematics can divine the laws of physics. Can they do the same for finance?
Chapter 1. Elective Affinities. Chapter 2. Dog Years. Chapter 3. A Sort of Life. Chapter 4. A Sentimental Education Oxford's civilized charms. Chapter 5. The Mandarins. Chapter 6. Knowledge of the Higher Worlds. Chapter 7. In the Penal Colony. Chapter 8. Stop-Time. Chapter 9. Transformer. Chapter 10. Easy Travel To Other Planets. Chapter 11. Force of Circumstance. Chapter 12. A Severed Head. Chapter 13. Civilization & Its Discontents. Chapter 14. Laughter in the Dark. Chapter 15. The Snows of Yesteryear. Chapter 16. The Great Pretender.
Acknowledgments. Index
Autoren-Porträt von Emanuel Derman
Emanuel Derman has a PhD in theoretical physics from Columbia University. He is the author of numerous articles in elementary particle physics, computer science, and finance, and a coauthor of the widely used Black-Derman-Toy interest rate model and the Derman-Kani local volatility model. After an initial career in academic life and a stint at AT&T Bell Laboratories, he moved to Goldman, Sachs & Co. in 1985, where he became a managing director in 1997. Among his many awards and honors, he was named the SunGard/IAFE Financial Engineer of the Year in 2000 and was appointed to the Risk Hall of Fame in 2002. He is currently the Director of the Program in Financial Engineering at Columbia University, a columnist for Risk magazine, and a risk advisor to an investment management company. He lives in New York City.
Bibliographische Angaben
- Autor: Emanuel Derman
- 2004, XI, 292 Seiten, mit Schwarz-Weiß-Abbildungen, Maße: 23,5 cm, Gebunden, Englisch
- Verlag: Wiley & Sons
- ISBN-10: 0471394203
- ISBN-13: 9780471394204
Sprache:
Englisch
Rezension zu „My Life As A Quant “
"...tells wonderful stories of trying to bring higher mathematics to the Goldman Sachs equity-derivatives trading desk." (Grant's Interest Rate Observer, Dec. 17, 2004)"Sadly, there's not much to buy in the stock or bond market this holiday season, but John Wiley & Sons has published the perfect gift. "My Life as a Quant," by Emanuel Derman (292 pages, $29.95) is, indeed, a perfect memoir, as Derman, a South African-born physicist turned financial engineer, is a perfect memoirist."--Grant's Interest Rate Observer
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