My Life as a Quant : Reflections on Physics and Finance

Rating:
Summary: 1000 Millidermans!
Review: A great book for anyone with an interest in Physics, Programming, or Finance. You will accompany Emanuel Derman in his journey to NYC as a young, enthusiastic PhD student, wander around the US and UK with him as he jumps from one postdoc position to another, have a feel of what is like to abandon a research career for a "business" job at Bell Labs "penal colony" and finally enter the secret doors of the money temples in Wall Street. You will find interesting remarks and reflections on the life of academics, programmers , quants and traders and get a glimpse of interesting characters like the nobel prize winner and Columbia Physics dept Emperor T.D. Lee and Wall Street legend Fisher Black. (yes, the Black-Scholes equation guy).
It is a fascinating read, but still quite depressing...one cannot avoid the question: "why didn't Dr. Derman manage to stay in Academia"? Watching the steady decline of his enthusiasm and the gradual curbing of his hopes while he progresses through his PhD and postdocs makes a clear pictures of how helpful and nurturing academic life can be to the ones who dare to choose it. Isolation, extreme competition, lack of decent working opportunities and conditions and the need to "produce something" to sustain his academic career slowly disoriented and disgusted a truly passionate, talented and enthusiastic young physicist to the point that he found the business, money crunching world more intersting and pleasant! This paradox clearly and sadly illustrates how the "publish or perish" routine has deformed the beauty of research and academic life.


Rating:
Summary: A great insight to the a Quant's daily life
Review: A nicely written book. But I am hesitant to call it an autobiography for it leaves a lot of private stuff. He wrote his income as a postdoc and a prof at Colorado but intentionally avoided at the Street. He mentioned most of his "unpleasant" life and avoided the "Honeymoons."

Rating:
Summary: Tremendous book!
Review: A wonderful, multifaceted book on many levels.

Read this book:

If you are interested in physics, what physics is all about, and what it takes to become a physicist;

If you are interested in mathematical finance, and what it is like to work in this field;

If you are interested in understanding a person who has an unrelenting drive to do something as well as he possibly can, along with all of the downsides;

And if you want to read something entertaining, interesting, and very well written.

Rating:
Summary: A must read for quants and their managers
Review: After reading Emanuel Derman's memoir, "My Life as a Quant", I realized just how precise the selection of each word in the title phrase is. Yes, Derman is indeed one of the foremost experts in the field that is known today as "financial engineering" and many on Wall Street would name him first if they were asked to give an example of a great QUANT. But far from being just an account of the professional field, this book is much more - it is an account of LIFE, its journeys and decisions, the people and the times. But ever so modest, even while philosophizing, Derman did not forget to put the word "MY" in the title - it must have been the instinct of a physicist and a financial modeler who has seen too many theories stretched beyond their range of applicability that made him to explicitly narrow down the claim to the universal truth about the life of quants.

The book is touchingly personal, almost impossibly honest for the world of Wall Street, where everyone keeps their cards close to the vest, and no one likes to admit being even slightly wrong. Following the footsteps of his favorite anthroposophist Rudolf Steiner, Derman opens to the readers the complexities and confusion of life, the mistakes as well as the great accomplishments, the accidental as well as the purposeful.

This book is a must read for any scientist who contemplates a career in finance. Moreover, it is a must read for any manager who faces the everyday challenges of keeping those unruly quant minds in line. And finally, it is a must read for everyone else who could use something more intellectual than Dilbert cartoons (and even wittier at times -- if you can read between the lines) as a conversation topic about keeping one's sanity in the corporate world.

Rating:
Summary: Top 10 Business Week BOTY
Review: An interesting side of Wall Street can be seen in Emanuel Derman's My Life As a Quant: Reflections on Physics and Finance (Wiley). "A victim of academic-world underemployment, Mr. Derman was bailed out of the halls of ivy for the world of investing. Starting at Goldman, Sachs & Co. (GS ) in 1985, he moved from fixed-income to equity derivatives to risk management, becoming a managing director in 1997. The most challenging part of this book is the author's detailed explanation of trading tools: For example, there's the formula for pricing options on Treasury bonds, which he co-invented with Goldman colleagues Bill Toy and the late Fischer Black. But My Life As a Quant is not all tough sledding: With references that range from Mother Goose to Goethe, it's an amusing tale of one man's unlikely experiences."

Rating:
Summary: Fascinating look at physics as well as finance
Review: Derman has a Ph.D. in theoretical physics, from Columbia University (1973). He worked in that field for the next seven years, from one post-doctoral fellowship to another. I'm no judge, but it appears that his work on the phenomenology of muons was well regarded.

A muon, in case you're wondering, is an oversized electron, with the same negative charge but more than 200 times the mass. In the context of the physics of subatomic particles, "phenomenology" refers to the work that bridges the gap between experimental results and pure theory. Apparently, the lab folks and the blackboard scribblers don't talk to each other much, so a mediating specialty has developed; it consists of physicist diplomats who talk to both sides. The phenomenologists explain why the recent laboratory results of Professor Smith are (or aren't) consistent with the theories of Professor Jones.

In fact, one of the subtler revelations of those book is the largely implicit analogy between the theory/experimentation gap in physics and the abyss separating finance theory and the activity of traders. In the latter area, too, Derman regards
himself as a mediator.

But to finish up with his physics career ... he found it impossible to obtain a faculty position at a major university doing the work he loved on a tenure track, and he grew weary of the prolonged adolescence, as he calls it, of a perennial post-doctoral fellow. So he left academic life for Bell Labs, Murray Hill, N.J., in 1980.

There he discovered the joys of computer programming and helped create the Hierarchical Equation Solver, which was a precursor of the Lotus spreadsheet. He loved the work. He finds computer languages elegant and the innovative use of them to conquer a new task wonderfully challenging.

In his discussion of this period in his life, the first half of the 1980s, he mentions a series of courses on computer science that his bosses arranged at his alma mater, Columbia. That is how he came to study database theory with David Shaw. He describes Mr. Shaw as "an early incarnation of the now ubiquitous capitalist academic" with a small leather day planner in his pocket and always at work on a parallel-processing computer he called NonVon.

That's just a sample of what you'll find here. Hope it whets your interest.



Rating:
Summary: very cool book
Review: Derman is brilliant and funny.

this is a great book!

Rating:
Summary: Physics to Finance
Review: Excellent book on survival, as a Ph.D. in Physics, in the 80s and 90s. Most Physics PhD cannot find any jobs. Yet, Derman did well in moving to finance at Goldman Sachs. This book is a page turner that you cannot put it down. The only piece missing was how he got a job at Columbia University. Is this the final happiness for him? I love to read a sequel.





Rating:
Summary: Interesting on three levels
Review: If you are only looking for a trading book, save your money as you won't find it here. What you will find is a very interesting personal story of how one person found his way through life.

The first take away is seeing how a person grows and adapts his interests to fit the realities of life. Thoughout the book you see a gradual transformation from doing what was once unthinkably mundane to seeing the value of the task and embracing it. This is often accompanied by short term pain.

The second take away concerns the prospects for anyone considering entering a career. The author makes a pretty good case for not attempting to enter academia. Simply too hard for most people to ever be tenured. One the other hand he makes a pretty good case for staying off Wall St. as well. The industry trends of consolidation and shifts from analytics to marketing probably mean it will be much harder to even get started much less succeed.

Finally I find it fascinating just how naive Wall Street can really be. The crudeness of the models used only 15 years ago is staggering. I cannot imagine doing the valuations for an entire trading desk by typing in quotes to a lotus spreadsheet. Yet this was the standard practice less than 20 years ago.

I was a member of an exchange in the early 90's and what we were doing was not "rocket science" by any stretch of the imagination. However it seems that some of the biggest names on the street were not nearly as far ahead of us as I thought.

This leads to an interesting question (in my mind anyway). How did these firms really make their billions? Did deep pockets allow them to weather the storms until trades moved their way? Was it a case of having one eye in the land of the blind (meaning they were a tiny bit ahead of the rest of the world and that was enough)?


Rating:
Summary: Great Way to Learn Quantitative Finance in a Weekend Read
Review: The book is a great way to learn about complex financial subjects like arbitrage strategies, smiles, and jump diffusions. Mr. Derman explains all these financial subjects very well, like he was explaining it to a seventh grader. I also found very interesting how he tied in his knowledge of the field of physics into quantitative finance.