My Life as a Quant: Reflections on Physics and Finance

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John Wiley & Sons, Sep 16, 2004 - Biography & Autobiography - 292 pages
13 Reviews
"Derman’s memoir of his transition from mathematical physicist to expert finance whiz at Goldman Sachs and Salomon Brothers reads like a novel, but tells a lot about brains applied to making money grow."
–Paul A. Samuelson, MIT, Nobel Laureate in Economic Sciences, 1970

"Not only a delightful memoir, but one full of information, both about people and their enterprise. I never thought that I would be interested in quantitative financial analysis, but reading this book has been a fascinating education."
–Jeremy Bernstein, author of Oppenheimer: Portrait of an Enigma

"This wonderful autobiography takes place in that special time when scientists discovered Wall Street and Wall Street discovered them. It is elegantly written by a gifted observer who was a pioneering member of the new profession of financial engineering, with an evident affection both for finance as a science and for the scientists who practice it. Derman’s portrait of how the academics brought their new financial science to the world of business and forever changed it and, especially, his descriptions of the late and extraordinary genius Fischer Black who became his mentor, reveal a surprising humanity where it might be least expected. Who should read this book? Anyone with a serious interest in finance and everyone who simply wants to enjoy a good read."
–Stephen Ross, Franco Modigliani Professor of Finance and Economics, Sloan School, MIT

" … a deep and elegant exploration by a thinker who moved from the hardest of all sciences (physics) to the softest of the soft (finance). Derman is a different class of thinker; unlike most financial economists, he bears no physics envy and focuses on exploring the real intuitions behind the mechanisms themselves. In addition to stories and portraits, the book documents, in vivid detail, the methods of knowledge transfer. I know of no other book that bridges the two cultures. Finally, I am happy to discover that Derman has a third career: he is a writer."
–Nassim Taleb, author of Fooled by Randomness

"The quintessential quarky quant, Emanuel Derman has it all. Physicist, mathematician, philosopher, and poet blend together to produce a narrative that all financial engineers will find worth reading."
–Mark Rubinstein, Paul Stephens Professor of Applied Investment Analysis, University of California, Berkeley

 

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LibraryThing Review

User Review  - dvf1976 - LibraryThing

I enjoyed the biography aspect of the book and I really enjoyed the parts about programming under Unix/C. The financial parts, though, left me pretty lost. A glossary with some brief financial ... Read full review

LibraryThing Review

User Review  - breic2 - LibraryThing

A memoir describing Derman's career. After postgraduate work in physics, he transitioned to finance, and spent seventeen years as a "quant" at Goldman Sachs. Read full review

Selected pages

Contents

CHAPTER 1 ELECTIVE AFFINITIES
17
CHAPTER 2 DOG YEARS
29
CHAPTER 3 A SORT OF LIFE
53
CHAPTER 4 A SENTIMENTAL EDUCATION
65
CHAPTER 5 THE MANDARINS
77
CHAPTER 6 KNOWLEDGE OF THE HIGHER WORLDS
85
CHAPTER 7 IN THE PENAL COLONY
95
CHAPTER 8 STOPTIME
117
CHAPTER 11 FORCE OF CIRCUMSTANCE
175
CHAPTER 12 A SEVERED HEAD
191
CHAPTER 13 CIVILIZATION AND ITS DISCONTENTS
203
CHAPTER 14 LAUGHTER IN THE DARK
225
CHAPTER 15 THE SNOWS OF YESTERYEAR
251
CHAPTER 16 THE GREAT PRETENDER
265
Acknowledgments
271
Index
273

CHAPTER 9 TRANSFORMER
129
CHAPTER 10 EASY TRAVEL TO OTHER PLANETS
143

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Page 1 - The supreme task of the physicist is to arrive at those universal elementary laws from which the cosmos can be built up by pure deduction. There is no logical path to these laws; only intuition, resting on sympathetic understanding of experience, can reach them.

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About the author (2004)

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.

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