1. My Life As A Quant Audiobook
2. Physics Quant

The Volatility SmileThe Black-Scholes-Merton option model was the greatest innovation of 20th century finance, and remains the most widely applied theory in all of finance. Despite this success, the model is fundamentally at odds with the observed behavior of option markets: a graph of implied volatilities against strike will typically display a curve or skew, which practitioners refer to as the smile, and which the model cannot explain. Option valuation is not a solved problem, and the past forty years have witnessed an abundance of new models that try to reconcile theory with markets.The Volatility Smile presents a unified treatment of the Black-Scholes-Merton model and the more advanced models that have replaced it. It is also a book about the principles of financial valuation and how to apply them. Celebrated author and quant Emanuel Derman and Michael B. Miller explain not just the mathematics but the ideas behind the models.

In My Life as a Quant, Emanuel Derman relives his exciting journey as one of the first high-energy particle physicists to migrate to Wall Street. Page by page, Derman details his adventures in this field-analyzing the incompatible personas of traders and quants, and discussing the dissimilar nature of knowledge in physics and finance. Throughout this tale, he also In My Life as a Quant, Emanuel Derman relives his exciting journey as one of the first high-energy particle physicists to migrate to Wall Street. Page by page, Derman details his adventures in this field-analyzing the incompatible personas of traders and quants, and discussing the dissimilar nature of knowledge in physics and finance. Throughout this tale, he also reflects on the appropriate way to apply the refined methods of physics to the hurly-burly world of markets. There’s been handwringing over the last few years about all the smart young things coming out of university math and physics programs and heading for the big bucks on Wall Street. Like everyone else, I despise this despicable trend.

Of course, Wall Street needs to be shut down. We need to go back to investing money the old fashioned way: in our demesnes, our serfs, and the Church’s indulgences. But reading a memoir like this one, you understand how the flight of brains to the Street can happen There’s been handwringing over the last few years about all the smart young things coming out of university math and physics programs and heading for the big bucks on Wall Street. Like everyone else, I despise this despicable trend. Of course, Wall Street needs to be shut down. We need to go back to investing money the old fashioned way: in our demesnes, our serfs, and the Church’s indulgences.

But reading a memoir like this one, you understand how the flight of brains to the Street can happen even to someone who isn’t an utter money-grubbing, dastardly bastard. Emanuel Derman came to the U.S. From South Africa in the 1960s, got his PhD in physics at Columbia, and took a lonely, low-paying academic job. He moved on to a higher paying but creatively stifling corporate job at Bell Labs (where, though you had a doctorate, your supervisor might only have a masters degree), where he often felt subservient and demeaned. After these positions, the relative freedom of Wall Street looked pretty good, and he joined the quantitative side of Goldman Sachs (that side being the less prestigious one, relative to the trading side, or sales), creating financial models and specializing in interest rate modeling.Derman is a fluid storyteller and surprisingly literate writer. He quotes Blake and discusses Schopenhauer.

He tells you about the plot of Humboldt's Gift, and expresses his admiration for Barfield's History in English Words. What makes the memoir most appealing is his wry modesty and humility. In many of his jobs, he views himself as the fish slightly out of water; he’s rarely the one in the most lofty position. Despite his PhD and intellectual smarts, he’s usually the newbie, forced to catch up with the cool kids, constantly learning the ropes. A story about his search for a PhD advisor at Columbia is particularly charming.

He wanted to study with Gerald Feinberg, a young Wunderkind:'I wanted to be Feinberg's student, but I didn't know how to go about it. Since it was premature for formal arrangements and since I was naturally reticent and shy, I simply began to greet him very politely whenever our paths crossed. Graduate school was a small community. In corridors and elevators and on campus, I was soon running into Feinberg several times a day, always giving him a polite hello and a nice smile. He would reciprocate similarly with a sort of nervous curling of the lips.

As time passed, this limbo of flirtatious foreplay continued unabated. I could never find the courage to broach the question of being his student; I supposed I must have hoped it would just happen wordlessly. Every time I saw him I smiled; every time I smiled he bared his lips back at me with greater awkwardness. Our facial manipulations bore increasingly less resemblance to anything like a real smile; each of our reciprocated gestures was a caricature, a Greek theatrical mask signaling friendliness.' Derman never could get up the nerve to actually ask Feinberg and ended up with another professor. I didn't have any expectations of this book before I read it, other than it would hopefully give me some better insight into a part of the world of investment banking that I have worked.

Towards the later part of the first half, I was starting to wonder when he would get to the finance part of his life, but once I got there I appreciated the lead-up. I was not looking to read a book on life in academia, but now that I have, I feel somewhat enlightened. The particulars of the physics theories I didn't have any expectations of this book before I read it, other than it would hopefully give me some better insight into a part of the world of investment banking that I have worked. Towards the later part of the first half, I was starting to wonder when he would get to the finance part of his life, but once I got there I appreciated the lead-up. I was not looking to read a book on life in academia, but now that I have, I feel somewhat enlightened.

The particulars of the physics theories were a bit over my head, but I grasped what he was writing about enough to understand the overall points. I think I will need to study options theory a bit more to fully appreciate the second half, but it was an interesting read and will give me more perspective while I continue to increase my knowledge in those areas. This book may not be a good pick for those that are not into physics or finance, though my 17 month old son enjoyed it. I read this book to him over the past couple of week for his bed-time stories. I picked up this book at the library because it was suggested by Goodreads or Amazon (I forget which) as a book I might like to read.Derman got off to a bad start in the prologue (bottom of page 13) where he wrote, 'How does a planet know that it must obey Newton's Laws, or an electron perceive that it must move according to the principles of quantum electrodynamics?' Planets must obey Newton's Laws?

Electrons must move according to the principles of quantum electrodynamics? This guy, it I picked up this book at the library because it was suggested by Goodreads or Amazon (I forget which) as a book I might like to read.Derman got off to a bad start in the prologue (bottom of page 13) where he wrote, 'How does a planet know that it must obey Newton's Laws, or an electron perceive that it must move according to the principles of quantum electrodynamics?'

Planets must obey Newton's Laws? Electrons must move according to the principles of quantum electrodynamics?

This guy, it appears, has got things backward if he thinks nature is somehow required to follow the models science has devised to describe nature. Nature does what it does without any consideration of our attempts to describe it. The models developed by scientists, wonderful as they may be, are not rules that nature must obey and anyone who believes otherwise is kidding himself.Then on pages 49-50 he wrote, 'One summer in the early seventies, during the student protests against the American invasion of Cambodia, Eva his wife and I went camping in the Catskills mountains with Chang-Li and his wife.

After several days in a tent, cut off from any news, we went to meet my in-laws who were vacationing in a nearby hotel. As we arrived, my father-in-law somberly announced to us that a small bomb had exploded in one of the physics department's bathrooms. Without a moment's hesitation Chang-Li and I leapt in the air for joy, whooping and cheering.'

My Life As A Quant Audiobook

Derman was a graduate student in physics at Columbia at the time this occurred. It is difficult for me to comprehend the mind of a person who would rejoice in the bombing of his own department at a university.But as the book unfolded, it appeared that Derman was able to grow out of his adolescent arrogance and attitudes. I have to admire him for being willing to describe his early experiences with such honesty.

He is clearly a brilliant person and I enjoyed his description of how he migrated from an academician in physics to a practitioner in finance. I didn't understand much of what he did as a quant, but it was nonetheless interesting to me.

And I was delighted to see in the final chapter that he understands that man-devised models are not rules that nature or financial markets follow but rather attempts to describe what happens in nature and financial markets. This book was Emanuel Derman (Eman) dryly taking us through his life as a theoretical physicist turned quant. Though the material was fascinating, it was like listening to a boring professor - dry, bland, and ultimately, self-defeating.The one thing this book did have that was helpful is lots of context. We learn not only what Derman as a quant does, but why, and what the business context is for it. He also clearly has a passion for explaining theories clearly as opposed to high-brow.Overall, This book was Emanuel Derman (Eman) dryly taking us through his life as a theoretical physicist turned quant.

Though the material was fascinating, it was like listening to a boring professor - dry, bland, and ultimately, self-defeating.The one thing this book did have that was helpful is lots of context. We learn not only what Derman as a quant does, but why, and what the business context is for it. He also clearly has a passion for explaining theories clearly as opposed to high-brow.Overall, a good book, but boring. It's closer to 4 stars than 3.I would recommend How I Became a Quant if you enjoy this kind of material. Not the most insightful of memoirs, this was more of a catalogue of professional achievements.

In the first half, he reveals himself to be an incredibly arrogant physicist. (Full disclosure - in the book, Derman expresses scorn for both solid state physicists and experimentalists - I myself belong to both of these categories.) In the second half which addresses his financial career, his arrogance is not as noticeable, so either he was actually humbled by his change in career, as he describes Not the most insightful of memoirs, this was more of a catalogue of professional achievements. In the first half, he reveals himself to be an incredibly arrogant physicist. (Full disclosure - in the book, Derman expresses scorn for both solid state physicists and experimentalists - I myself belong to both of these categories.) In the second half which addresses his financial career, his arrogance is not as noticeable, so either he was actually humbled by his change in career, as he describes in the book, or I have the benefit of not being in his profession.In the last chapter, he struggles futilely to make philosophical statements about physics and financial math and their respective abilities to describe and predict the tangible world.

Despite references to God, he fails utterly in this attempt. I finally finished Emanuel Derman's 'My life as a quant' He is a great story teller. I found the stories around his life in physics much more appealing than his finance life.

The most interesting part to me was the fact that his most interesting contributions came way after he finished his PhD. Also his detailed description of the implied tree model is very intuitive and interesting. Still, he is doesn't shy away from highlighting his weaknesses and struggles throughout his career and that makes I finally finished Emanuel Derman's 'My life as a quant' He is a great story teller. I found the stories around his life in physics much more appealing than his finance life. The most interesting part to me was the fact that his most interesting contributions came way after he finished his PhD.

Also his detailed description of the implied tree model is very intuitive and interesting. Still, he is doesn't shy away from highlighting his weaknesses and struggles throughout his career and that makes the whole story appealing to the reader. He does not portray himself as a genius, yet he makes you admire his thirst for progress. One thing that frustrated me a little was that the pace of the text changes throughout the book. Sometimes the story goes very fast and sometimes it drags on an on.

I really enjoyed the book and would give it 4.5/5 if I could. The book is a professional biography of Emanuel Derman. The book starts off more a philosophical text discussing the author's evolution through tertiary education which culminated in three post-doctoral stints at some of the world's top institutions. This early part of the book has interesting questions and observations such as 'Ambition degradation' ie how ones ambitions degrade with time.

An encouraging aspect of the book is how the author frankly discusses their own intellectual limitations The book is a professional biography of Emanuel Derman. The book starts off more a philosophical text discussing the author's evolution through tertiary education which culminated in three post-doctoral stints at some of the world's top institutions. This early part of the book has interesting questions and observations such as 'Ambition degradation' ie how ones ambitions degrade with time. An encouraging aspect of the book is how the author frankly discusses their own intellectual limitations despite being an incredibly smart high achiever which bodes well as an encouragement that failure isn't fatal. The key drag on the book is that some sections are fairly technical and those without intuitive understanding of bonds and options and equities might find it difficult to follow.

A good read for many high achievers with big intellectual goals even outside of the field of finance. Basic introduction of the book:The author, Emanuel Derman, is a co-developer of the short rate model – Black-Derman-Toy model. He is also the director of Columbia’s Financial Engineering program.

Physics Quant

One special thing worth mentioning is that he switched his career from physics to finance at his 40’s.I read this book with recommendation from a financial engineering program. It is said to be useful for me to understand and accelerate a career in quantitative finance.The first half part of this book Basic introduction of the book:The author, Emanuel Derman, is a co-developer of the short rate model – Black-Derman-Toy model. He is also the director of Columbia’s Financial Engineering program.

One special thing worth mentioning is that he switched his career from physics to finance at his 40’s.I read this book with recommendation from a financial engineering program. It is said to be useful for me to understand and accelerate a career in quantitative finance.The first half part of this book is about Emanuel’s life in physics, and it is not related to finance.The second part is about his work and thoughts in wall street. The interesting part is that he had worked with many top quantitative finance researchers and practitioners, so the description of these talented guys (including author) is interesting for me to understand how they worked and thought on quantitative finance.Courage to change:Emanuel once had a dream to be a great physicist, and he spent more than ten years in the area. Unluckily, he never got a great achievement in physics according to his own standard and thus felt unhappy.He changed his career to quantitative finance, and later became a top financial engineer in this area. Although Emanuel might not be a top physicist in the world, he later became a top quantitative researcher and practitioner thanks to his strong background in quantitative research.More communication needed in finance area:Emanuel described more co-work experience in quantitative finance than his previous work in physics.

Communication with traders and researchers is important for him to develop financial models which are usable in real world. In physics, he did research mostly by himself.Models are wrong:Financial models are less stable than physics models. As Emanuel wrote, “In physics you’re playing against God, and He doesn’t change his laws very often. When you’ve checkmated Him, He’ll concede. In finance, you’re playing against God’s creatures, agents who value assets based on their ephemeral opinions.”Take Black-Scholes model as example, it has assumptions including constant volatility and risk free rate, divisible asset, lognormal distribution of asset price, etc.

The reality is that those assumptions are almost not true. What a practitioner can do is to develop or select a suitable model which can explain most of the price, interest rate or volatility movement under a specific situation. Thanks to this, quantitative analysists keep developing more suitable models and the quantitative financial models are evolving quickly nowadays. My Life as a Quant is the autobiography of Emanuel Derman, charting his conversion from frustrated physicist into financial engineer.

Derman must have kept a diary because he mentions specific things happening to him on specific days and dates. The prologue immediately becomes quite technical, but then the next few chapters are very general and gentle. Although, I guess the nature of options and derivatives isn't technical to the average quant. Indeed, I didn't really understand the nature of My Life as a Quant is the autobiography of Emanuel Derman, charting his conversion from frustrated physicist into financial engineer. Derman must have kept a diary because he mentions specific things happening to him on specific days and dates. The prologue immediately becomes quite technical, but then the next few chapters are very general and gentle. Although, I guess the nature of options and derivatives isn't technical to the average quant.

Indeed, I didn't really understand the nature of what he actually did in finance terribly well. I guess the gist is that in finance you want to know a fair price for something. To do so, you use a model.

This also allows you to predict that statistics of the price movement. From this you can generate uncertainty (or was it risk) and allow you to hedge your bets against changes in the price of that asset.

The model helps inform the traders about what is undervalued. It also allows you to generate financial products to sell and what price to sell them at (hence financial engineering), and then how much risk you yourself have holding them.Derman had to develop these models, and this was were the interest for the ex-physicist comes in, it is about the playing with ideas. Even then, to him who enjoyed doing this, it still seemed like the classic case of Wall Street, whereby you serve your time and earn your money and leave.I read this because I wanted to have an idea of what life might have been like (or could still be like) if I made the transition from physics to finance or where my PhD might take me. One thing that was very alarming to me was that he called the chapter about his time in industry between academia and finance 'the penal colony'.

Is this what awaits myself if I try to get a job in 'the real world'? Overall, I enjoyed the book enough, but still didn't understand very well the finance side of things, also Derman's life is a bit dull.

I don't make this as a character judgement, but it doesn't make his autobiography very exciting. It is more about the growth of the internal life of a person and the way that they and their expectations change with age. It was also interesting to hear him talk about some of his other more cerebral pursuits, his film watching and reading of philosophy. Emanuel Derman describes how he went from being a grad student in physics to a quant on the Wall Street, and everything else that ensued in between. It is an entertaining read rich with personal anecdotes. Derman succeeds in painting a vivid picture of the physics community at Columbia in the late 60s and the early 70s, how his ambitions as a physicist and the reality of his contributions didn't match up, and a seemingly endless search for a job that was fulfilling as well as permanent.

After a Emanuel Derman describes how he went from being a grad student in physics to a quant on the Wall Street, and everything else that ensued in between. It is an entertaining read rich with personal anecdotes. Derman succeeds in painting a vivid picture of the physics community at Columbia in the late 60s and the early 70s, how his ambitions as a physicist and the reality of his contributions didn't match up, and a seemingly endless search for a job that was fulfilling as well as permanent.

After a few stints as a post-doc at various places, he finally decides to take up a job at Bell Labs, and that fuels his love for computer programming, reminding me just a tiny bit about how I got fascinated by it during the early years of my undergrad life as a computer scientist.Midway through the book, Derman finally takes up a job at Goldman, Sachs and Co., and that starts his journey as a quant. As before, it was the depth with which he described his work environment, the culture of the firm, the connections between the firm and the rest of the industry, and how his personal effort fit into the picture that drew me in.

It was fascinating to read how he learnt to become a successful practitioner from being a theorist, to move up the 'corporate ladder', to recognize the needs of the trading desk and to deliver models and software solutions, while always trying to stay grounded in academic rigor.The prose is lucid though not the most gripping. The mathematical details can be a bit hard to understand for the layman at first, but I found the semi-detailed account of his financial models quite rewarding, as I understood a bit of the connection between the math that we did in college and its applications in a financial setting. Most importantly, this book sheds light on the reasons for which bright young physicists and mathematicians end up working at the Wall Street, the mental turmoil that surrounds such a move, and how one of them found the transition a fulfilling and successful endeavor. The first 1/3 of the book was about his life as a physicist with quite many professional terms of what he has done and how he felt about the life he led. Second part 2/3 of book was about his life as a financial algorithms coder, worked back and forth in Goldman Sachs and Saloman Brothers (1 year).I have to admit that for both physics and banking terms, i am not familiar, he wrote in a very geeky way, but when he talked about his struggles about life choice, marriage, his kids, I felt he got The first 1/3 of the book was about his life as a physicist with quite many professional terms of what he has done and how he felt about the life he led.

Second part 2/3 of book was about his life as a financial algorithms coder, worked back and forth in Goldman Sachs and Saloman Brothers (1 year).I have to admit that for both physics and banking terms, i am not familiar, he wrote in a very geeky way, but when he talked about his struggles about life choice, marriage, his kids, I felt he got very gentle and honest soft tones. After all, facing all the pressure in the killing battle like financial world, we do need a soft ground.What I enjoy the most is how he expressed his jealousy, his great ambition to be someone famous, he doesn't hide his weakness, or try to be humble, he is just being himself. Honest self.This autobiography is not the most dramatic one, but surely the very frank one.Back to be a professor in the end, he looked back his adventure, no regret, life is journey, we assumed what we chose. Quite entertaining book especially for someone with financial background using the models or considering going into the field (straight out of university). I personally took it for granted and didn't knew how the field and models got evolved.Furthermore, in the first part of the book Derman describes his life as a postdoc in theoretical physics, granted it was in the 80s yet it might deliver some insights to someone considering doing a PhD.

Derman describes the switching point from academia Quite entertaining book especially for someone with financial background using the models or considering going into the field (straight out of university). I personally took it for granted and didn't knew how the field and models got evolved.Furthermore, in the first part of the book Derman describes his life as a postdoc in theoretical physics, granted it was in the 80s yet it might deliver some insights to someone considering doing a PhD. Derman describes the switching point from academia into banking quite vividly and all the reasons leading him to change the playfield.In general it feels like the image of the quants hasn't changed that much over the years, they're the underground stars of the banking industry doing the heavy lifting. It was an extremely pleasant reading, much to my surprise. I could totally relate to the author when he talks about getting a Physics PhD in Columbia or studying options and futures on his own to get to Wall Street.

Should there be parallel universes, there's definitely one in which I am studying in the States, another one in which I am studying Physics (PhD or not). The part when he had to live apart from his wife and new-born son was indeed saddening as well. Not to mention how his long It was an extremely pleasant reading, much to my surprise. I could totally relate to the author when he talks about getting a Physics PhD in Columbia or studying options and futures on his own to get to Wall Street. Should there be parallel universes, there's definitely one in which I am studying in the States, another one in which I am studying Physics (PhD or not). The part when he had to live apart from his wife and new-born son was indeed saddening as well.

Not to mention how his long lasting friendship with Fisher (the creator of Black-Shore-Merton Model). First time trying an autobiography and its not bad. “Once, sitting in my car in the parking lot outside Building 5 during a prolonged downpour after a long lunch off premises, Mark, Larry, and I pondered the famous two-condom combinatorial problem that spread through the Center: Two (heterosexual) couples decide to have group sex with each other in all possible male-female combinations. They have only two condoms, and everyone is scared of catching some venereal disease. How can they manage four couplings with only two condoms? The first man puts on two condoms, one over the other, and then sleeps with the first woman.

Only the outer surface of the outer condom and the inner surface of the inner one has had contact with any potentially infectious surface. The man removes the outer condom and sleeps with the second woman. The second man then dons the removed outer condom whose inner surface has until now had no contact with anyone’s skin, and sleeps with the first woman, whose only contact has thus far been with the outside of the same condom. Finally, the second man dons the second condom over the one he is already wearing, and sleeps with the second woman, who again only experiences a condom she has already touched. It was impossible to resist the temptation to generalize to N couples.”—.