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Username Post: Review of Emanuel Derman's book, "My Life as a Quant"        (Topic#6375)
Posts: 249

Reg: 09-24-07

07-27-13 09:24 PM - Post#6793    

If you are into quantitative finance, then Emanuel Derman’s book, “My Life as a Quant: Reflections on Physics and Finance” is a fascinating read.

This autobiography is a unique memoir recounting a man's path of self-discovery from the university life of being a physicist to 85 Broad Street, the location of Goldman Sachs’ headquarters in Wall Street, and back to the world of academia itself, landing as a professor and director in Financial Engineering at Columbia University

Dreman recounts his life as a quantitative trader and researcher at illustrious Wall Street firms Goldman Sachs, where he helps develop the Black-Derman-Toy (BDT) model, and Salomon Brothers.

Derman describes his work on using the Black-Scholes model to solve the skew of implied volatilities in Nikkei puts. The result was a program that could find all local volatilities.

One of my favorite sections of the book is a sequence of Derman’s thoughts captured in the following paragraph:

"I like to think in Goethean terms of what we do in quantitative finance: We try to make as beautiful and truthful a description as we can of what we observe. We're involved in intuiting, inventing, or concocting approximate laws and patterns. We combine both art and science in creating understanding. We use our intuition, our scientific knowledge and our pedagogical skills to paint a picture of how to think qualitatively, and then, within limits, quantitatively, about the world of human affairs, and in so doing, we influence and are influenced by other people's thoughts. There's not much more one could ask for in this life without being wishful."

I think this book is perfect for people who are interested in quantitative finance or people who are interested in starting a career in quantitative finance on Wall Street. If you are a mathematician or a physicist, you will identify with Emanuel Derman.

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Edited by dailystock_admin on 07-27-13 09:29 PM. Reason for edit: No reason given.

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