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目录
Content
Chapter_1
Chapter_2
Chapter_3
Chapter_4
Chapter_5
Chapter_6
Chapter_7
Chapter_8
Chapter_9
Chapter_10
Chapter_11
Chapter_12
Chapter_13
Chapter_14
Chapter_15
Chapter_16
Chapter_17
Chapter_18
Chapter_19
Chapter_20
Chapter_21
Chapter_22
Chapter_1
My Life as a Quant
Reflections on Physics and Finance
Emanuel Derman
John Wiley & Sons, Inc.
More Praise for My Life as a Quant
“An honest account of the experience of going from an envi-ronment of Nobel Prize winners and pure thought to one of money, money, money. Derman gives us unique insight into the motivations of academia, the pressure to cast off worldly success in favor of matters more cerebral, then the mixed feelings during his descent into a world where the bottom line is P&L, and finally his success at bringing his own style of science into investment banking.”
—Paul Wilmottt,
mathematician, author, and fund manager
“A fascinating personal account of one man’s journey through several of the leading institutions of our time.Written by per-haps the leading practitioner of his generation, this insightful narrative explores the disparate cultures of physics, finance, and their powerful fusion known as phynance.This book is a must-read for aspiring quants, financial historians, and armchair soci-ologists interested in the machinations of both academia and industry.”
—Peter Carr,
Head of Quantitative Research, Bloomberg,
and Director, Masters in Math Finance, NYU
My Life as a Quant
Reflections on Physics and Finance
Emanuel Derman
John Wiley & Sons, Inc.
Copyright . 2004 by Emanuel Derman.All rights reserved.
Published by John Wiley & Sons, Inc., Hoboken, New Jersey
Published simultaneously in Canada
No part of this publication may be reproduced, stored in a retrieval system, or trans-mitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authorization through payment of the appropriate per-copy fee to the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, 978-750-8400, fax 978-646-8600, or on the web at www.copyright.com. Requests to the Publisher for permission should be addressed to the Permissions Department, John Wiley & Sons, Inc., 111 River Street, Hoboken, NJ 07030, 201-748-6011, fax 201-748-6008.
Limit of Liability/Disclaimer of Warranty:While the publisher and author have used their best efforts in preparing this book, they make no representations or warranties with respect to the accuracy or completeness of the contents of this book and specifi-cally disclaim any implied warranties of merchantability or fitness for a particular purpose. No warranty may be created or extended by sales representatives or written sales materials. The advice and strategies contained herein may not be suitable for your situation. You should consult with a professional where appropriate. Neither the publisher nor author shall be liable for any loss of profit or any other commercial damages, including but not limited to special, incidental, consequential, or other damages.
For general information on our other products and services, or technical support, please contact our Customer Care Department within the United States at 800-762-2974, outside the United States at 317-572-3993 or fax 317-572-4002.
Wiley also publishes its books in a variety of electronic formats. Some content that appears in print may not be available in electronic books.
For more information about Wiley products, visit our Web site at www.wiley.com.
Library of Congress Cataloging-in-Publication Data
Derman, Emanuel. My life as a quant : reflections on physics and finance / Emanuel Derman.
p. cm. Includes biographical references and index. ISBN 0-471-39420-3 (cloth)
1. Derman, Emanuel 2. Investment advisors—Biography. 3.
Physicists—Biography. 6. Mathematical physicHG4621.D47 2004 332.6′092—dc22 Printed in the United States of America 4. Options (Finance) s. I. Title. 5. Quantum theory. 2004007664
10 9 8 7 6 5 4 3 2 1
To the Memory of My Parents
Ambition is a state of permanent dissatisfaction with the present.
Contents
PROLOGUE THE TWO CULTURES 1
. Physics and finance . What quants do . The Black-Scholes model . Quants and traders . Pure thought and beautiful mathe-matics can divine the laws of physics . Can they do the same for finance? .
CHAPTER 1 ELECTIVE AFFINITIES 17
. The attractions of science . The glory days of particle physics . Driven by ambitious dreams to Columbia . Legendary physicists and budding wunderkinder . Talent versus character, plans versus luck .
CHAPTER 2 DOG YEARS 29
. Life as a graduate student . Wonderful lectures . T. D. Lee, the brightest star in the firmament . Seven lean years . Getting out of graduate school only half-alive .
CHAPTER 3 A SORT OF LIFE 53
. The priesthood of itinerant postdocs . Research isn’t easy . Almost perishing, then publishing . The delirious thrill of collab-oration and discovery .
CHAPTER 4 A SENTIMENTAL EDUCATION 65
. Oxford’s civilized charms . One physics paper leads to another . English idiosyncrasies . The anthroposophists .
ix
CHAPTER 5 THE MANDARINS 77
. Research and parenthood on New York’s Upper East Side . A good life, but . . . the tensions of twin careers .
CHAPTER 6 KNOWLEDGE OF THE HIGHER WORLDS 85
. A two-city family . New age meditations . Karma . Goodbye to physics .
CHAPTER 7 IN THE PENAL COLONY 95
. The world of industry—working for money rather than love . The Business Analysis Systems Center at Bell Labs . A small part of a giant hierarchy . Creating software is beautiful .
CHAPTER 8 STOP-TIME 117
. Wall Street beckons Leaving the Labs . . Interviewing at investment banks .
CHAPTER 9 TRANSFORMER 129
. The Financial Strategies Group at Goldman, Sachs & Co. . Learning options theory . Becoming a quant . Interacting with traders . A new cast of characters .
CHAPTER 10 EASY TRAVEL TO OTHER PLANETS 143
. The history of options theory . Meeting and working with Fischer Black . The Black-Derman-Toy model .
CHAPTER 11 FORCE OF CIRCUMSTANCE 175
. Manners and mores on Wall Street . The further adventures of some acquaintances . Volatility is infectious .
CHAPTER 12 A SEVERED HEAD 191
. A troubled year at Salomon Bros. . Modeling mortgages . Salomon’s skill at quantitative marketing . Mercifully laid off .
CHAPTER 13 CIVILIZATION AND ITS DISCONTENTS 203
. Goldman as home . Heading the Quantitative Strategies Group . Equity derivatives . The Nikkei puts and exotic options . Nothing beats working closely with traders . Financial en
Content
Chapter_1
Chapter_2
Chapter_3
Chapter_4
Chapter_5
Chapter_6
Chapter_7
Chapter_8
Chapter_9
Chapter_10
Chapter_11
Chapter_12
Chapter_13
Chapter_14
Chapter_15
Chapter_16
Chapter_17
Chapter_18
Chapter_19
Chapter_20
Chapter_21
Chapter_22
Chapter_1
My Life as a Quant
Reflections on Physics and Finance
Emanuel Derman
John Wiley & Sons, Inc.
More Praise for My Life as a Quant
“An honest account of the experience of going from an envi-ronment of Nobel Prize winners and pure thought to one of money, money, money. Derman gives us unique insight into the motivations of academia, the pressure to cast off worldly success in favor of matters more cerebral, then the mixed feelings during his descent into a world where the bottom line is P&L, and finally his success at bringing his own style of science into investment banking.”
—Paul Wilmottt,
mathematician, author, and fund manager
“A fascinating personal account of one man’s journey through several of the leading institutions of our time.Written by per-haps the leading practitioner of his generation, this insightful narrative explores the disparate cultures of physics, finance, and their powerful fusion known as phynance.This book is a must-read for aspiring quants, financial historians, and armchair soci-ologists interested in the machinations of both academia and industry.”
—Peter Carr,
Head of Quantitative Research, Bloomberg,
and Director, Masters in Math Finance, NYU
My Life as a Quant
Reflections on Physics and Finance
Emanuel Derman
John Wiley & Sons, Inc.
Copyright . 2004 by Emanuel Derman.All rights reserved.
Published by John Wiley & Sons, Inc., Hoboken, New Jersey
Published simultaneously in Canada
No part of this publication may be reproduced, stored in a retrieval system, or trans-mitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authorization through payment of the appropriate per-copy fee to the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, 978-750-8400, fax 978-646-8600, or on the web at www.copyright.com. Requests to the Publisher for permission should be addressed to the Permissions Department, John Wiley & Sons, Inc., 111 River Street, Hoboken, NJ 07030, 201-748-6011, fax 201-748-6008.
Limit of Liability/Disclaimer of Warranty:While the publisher and author have used their best efforts in preparing this book, they make no representations or warranties with respect to the accuracy or completeness of the contents of this book and specifi-cally disclaim any implied warranties of merchantability or fitness for a particular purpose. No warranty may be created or extended by sales representatives or written sales materials. The advice and strategies contained herein may not be suitable for your situation. You should consult with a professional where appropriate. Neither the publisher nor author shall be liable for any loss of profit or any other commercial damages, including but not limited to special, incidental, consequential, or other damages.
For general information on our other products and services, or technical support, please contact our Customer Care Department within the United States at 800-762-2974, outside the United States at 317-572-3993 or fax 317-572-4002.
Wiley also publishes its books in a variety of electronic formats. Some content that appears in print may not be available in electronic books.
For more information about Wiley products, visit our Web site at www.wiley.com.
Library of Congress Cataloging-in-Publication Data
Derman, Emanuel. My life as a quant : reflections on physics and finance / Emanuel Derman.
p. cm. Includes biographical references and index. ISBN 0-471-39420-3 (cloth)
1. Derman, Emanuel 2. Investment advisors—Biography. 3.
Physicists—Biography. 6. Mathematical physicHG4621.D47 2004 332.6′092—dc22 Printed in the United States of America 4. Options (Finance) s. I. Title. 5. Quantum theory. 2004007664
10 9 8 7 6 5 4 3 2 1
To the Memory of My Parents
Ambition is a state of permanent dissatisfaction with the present.
Contents
PROLOGUE THE TWO CULTURES 1
. Physics and finance . What quants do . The Black-Scholes model . Quants and traders . Pure thought and beautiful mathe-matics can divine the laws of physics . Can they do the same for finance? .
CHAPTER 1 ELECTIVE AFFINITIES 17
. The attractions of science . The glory days of particle physics . Driven by ambitious dreams to Columbia . Legendary physicists and budding wunderkinder . Talent versus character, plans versus luck .
CHAPTER 2 DOG YEARS 29
. Life as a graduate student . Wonderful lectures . T. D. Lee, the brightest star in the firmament . Seven lean years . Getting out of graduate school only half-alive .
CHAPTER 3 A SORT OF LIFE 53
. The priesthood of itinerant postdocs . Research isn’t easy . Almost perishing, then publishing . The delirious thrill of collab-oration and discovery .
CHAPTER 4 A SENTIMENTAL EDUCATION 65
. Oxford’s civilized charms . One physics paper leads to another . English idiosyncrasies . The anthroposophists .
ix
CHAPTER 5 THE MANDARINS 77
. Research and parenthood on New York’s Upper East Side . A good life, but . . . the tensions of twin careers .
CHAPTER 6 KNOWLEDGE OF THE HIGHER WORLDS 85
. A two-city family . New age meditations . Karma . Goodbye to physics .
CHAPTER 7 IN THE PENAL COLONY 95
. The world of industry—working for money rather than love . The Business Analysis Systems Center at Bell Labs . A small part of a giant hierarchy . Creating software is beautiful .
CHAPTER 8 STOP-TIME 117
. Wall Street beckons Leaving the Labs . . Interviewing at investment banks .
CHAPTER 9 TRANSFORMER 129
. The Financial Strategies Group at Goldman, Sachs & Co. . Learning options theory . Becoming a quant . Interacting with traders . A new cast of characters .
CHAPTER 10 EASY TRAVEL TO OTHER PLANETS 143
. The history of options theory . Meeting and working with Fischer Black . The Black-Derman-Toy model .
CHAPTER 11 FORCE OF CIRCUMSTANCE 175
. Manners and mores on Wall Street . The further adventures of some acquaintances . Volatility is infectious .
CHAPTER 12 A SEVERED HEAD 191
. A troubled year at Salomon Bros. . Modeling mortgages . Salomon’s skill at quantitative marketing . Mercifully laid off .
CHAPTER 13 CIVILIZATION AND ITS DISCONTENTS 203
. Goldman as home . Heading the Quantitative Strategies Group . Equity derivatives . The Nikkei puts and exotic options . Nothing beats working closely with traders . Financial en
my life as a quant
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