出版社: Wiley
副标题: Reflections on Physics and Finance
出版年: 20040916
页数: 304
定价: USD 34.95
装帧: Hardcover
ISBN: 9780471394204
内容简介 · · · · · ·
Emanuel Derman was one of the first physicists to move to Wall Street, and his career paralleled the growth of quantitative trading over the past twenty years. In My Life as a Quant, he traces his transformation from ambitious young scientist to managing director and head of the renowned Quantitative Strategies group at Goldman, Sachs & Co.
Derman’s tale recounts his a...
Emanuel Derman was one of the first physicists to move to Wall Street, and his career paralleled the growth of quantitative trading over the past twenty years. In My Life as a Quant, he traces his transformation from ambitious young scientist to managing director and head of the renowned Quantitative Strategies group at Goldman, Sachs & Co.
Derman’s tale recounts his adventures with quants, traders and other high fliers on Wall Street as he became the bestknown quant in the business. He describes the struggles of research and his interactions with an assorted cast of famous scientists. He relates his impressions of some of the most creative minds on Wall Street, including Fischer Black, with whom he collaborated on the widely used BlackDermanToy model of interest rates. Throughout his story he reflects on the appropriate way to apply the refined methods of physics to the hurlyburly world of markets and the people that inhabit them.
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一锅脑浆粥 ([!^13]@>([;.\?\!][ ^13]))
I had a passion for the content of physics, but I was also possessed by a hungry ambition for its earthly rewards. Both passion and hunger persisted over the years, despite the inevitable disappointments. Ten years later, as a postdoctoral researcher at Oxford in 1976, I experienced a minor epiphany about ambitionâ€™s degradation. At age 16 or 17, I had wanted to be another Einstein; at 21, I wou... (1回应)20140801 11:22 1人收藏
论人是怎么变得越来越low的 T_TI had a passion for the content of physics, but I was also possessed by a hungry ambition for its earthly rewards. Both passion and hunger persisted over the years, despite the inevitable disappointments. Ten years later, as a postdoctoral researcher at Oxford in 1976, I experienced a minor epiphany about ambition’s degradation. At age 16 or 17, I had wanted to be another Einstein; at 21, I would have been happy to be another Feynman; at 24, a future T.D.Lee would have sufficed. By 1976, sharing an office with other postdoctoral researchers at Oxford, I realized that I had reached the point where I merely envied the postdoc in the office next door because he had been invited to give a seminar in France. In much the same way, by a process options theorists call time decay, financial stock options lose their potential as they approach their own expiration.
1回应 20140801 11:22 
白乌鸦 (同声相应，同气相求。)
In an ideal world, he or she would simply offset the risk that IBMâ€™s price will rise by buying an IBM option similar to the one he or she sold, from someone else and at a cheaper price, thereby making a profit. Unfortunately, this is rarely possible. So instead, the dealer manufactures a similar option. This is where the BlackScholes model enters the picture. In 1973, Black and ...20120630 11:52 1人收藏
In an ideal world, he or she would simply offset the risk that IBM’s price will rise by buying an IBM option similar to the one he or she sold, from someone else and at a cheaper price, thereby making a profit. Unfortunately, this is rarely possible. So instead, the dealer manufactures a similar option. This is where the BlackScholes model enters the picture. In 1973, Black and Scholes showed that you can manufacture an IBM option by mixing together some shares of IBM stock and cash, much as you can create the fruit salad by mixing together apples and oranges. Of course, options synthesis is somewhat more complex than making fruit salad, otherwise someone would have discovered it earlier.Whereas a fruit salad’s proportions stay fixed over time (50 percent oranges and 50percent apples, for example), an option’s proportions must continually change. Options require constant adjustments to the amount of stock and cash in the mixture as the stock price changes. In fruit salad terms, you might start with 50 percent apples and 50 percent oranges, and then, as apples increase in price, move to 40 percent apples and 60 percentoranges; a similar decrease in the price of apples might dictate a move to 70 percent apples and 30 percent oranges. In a sense, you are always trying to keep the price of the mixture constant as the ingredients’ prices change and time passes.The exact recipe you need to follow is generated by the BlackScholes equation. Its solution, the BlackScholes formula, tells you the cost of following the recipe. Before Black and Scholes, no one even guessed that you could manufacture an option out of simpler ingredients, and so there was no way to figure out its fair price.回应 20120630 11:52 
罗马森林 (Ask that your way be long)
â€œPerhaps even more now than then, graduate education is an extended adolescence during which highly intelligent young people see their world shrink to fit the dimensions of their advisor's laboratory... With their identities bound to the outcome of the thesis project, graduate students are socialized to view other options (teaching, industry, even changing to another type of work altogether) with...20150812 06:38
“Perhaps even more now than then, graduate education is an extended adolescence during which highly intelligent young people see their world shrink to fit the dimensions of their advisor's laboratory... With their identities bound to the outcome of the thesis project, graduate students are socialized to view other options (teaching, industry, even changing to another type of work altogether) with contempt.”By Linda Logdbergextended adolescence,这个形容非常准确，事实上很多人在graduate school并没有真正完成从上学到career planing的转变，而graduate school又是如此漫长，身边的同学也是一样年轻天真，当理想遭遇滑铁卢，很多人会陷入一种脆弱和偏激的情绪。回应 20150812 06:38 
陳長安 (朝闻道，夕看完日落死可矣。)
If you decide you don’t have to get A’s, you can learn an enormous amount in college. (11) What I had learned I had learned well. (11) Quants and their cohorts practice “financial engineering”—an awkward neologism coined to describe the jumble of activities that would better be termed quantitative finance.The subject is an interdisciplinary mix of physicsinspired models, mathematical t...20150414 19:40
If you decide you don’t have to get A’s, you can learn an enormous amount in college. (11)What I had learned I had learned well. (11)Quants and their cohorts practice “financial engineering”—an awkward neologism coined to describe the jumble of activities that would better be termed quantitative finance.The subject is an interdisciplinary mix of physicsinspired models, mathematical techniques, and computer science, all aimed at the valuation of financial securities. (14)Options pricing theory is the most successful theory not only in finance, but in all of economics. (16)The BlackScholes model tells us, almost miraculously, how to manufacture an option out of the underlying stock and provides an estimate of how much it costs us to do so. (18)I knew how few were the hours in the day one actually works seriously and undistractedly, and was momentarily tempted to start my own time sheet. (36)In much the same way, by a process options theorists call time decay, financial stock options lose their potential as they approach their own expiration. (38)It was nice to be able to contribute without having to be extraordinary. (41)电脑上看（这种超级贵纸质电子版都买不起所以下载盗版 PDF 的）书虽然有赏心悦目的 Retina 而且作批注特别方便但实在是太费眼睛了于是我放进 kpw 带着地铁上看了所以后面的部分就木有 mark down 了呢。诶呀 Kindle 还是反应太慢了只能用来线性阅读小说和故事君！> <回应 20150414 19:40

陳長安 (朝闻道，夕看完日落死可矣。)
If you decide you don’t have to get A’s, you can learn an enormous amount in college. (11) What I had learned I had learned well. (11) Quants and their cohorts practice “financial engineering”—an awkward neologism coined to describe the jumble of activities that would better be termed quantitative finance.The subject is an interdisciplinary mix of physicsinspired models, mathematical t...20150414 19:40
If you decide you don’t have to get A’s, you can learn an enormous amount in college. (11)What I had learned I had learned well. (11)Quants and their cohorts practice “financial engineering”—an awkward neologism coined to describe the jumble of activities that would better be termed quantitative finance.The subject is an interdisciplinary mix of physicsinspired models, mathematical techniques, and computer science, all aimed at the valuation of financial securities. (14)Options pricing theory is the most successful theory not only in finance, but in all of economics. (16)The BlackScholes model tells us, almost miraculously, how to manufacture an option out of the underlying stock and provides an estimate of how much it costs us to do so. (18)I knew how few were the hours in the day one actually works seriously and undistractedly, and was momentarily tempted to start my own time sheet. (36)In much the same way, by a process options theorists call time decay, financial stock options lose their potential as they approach their own expiration. (38)It was nice to be able to contribute without having to be extraordinary. (41)电脑上看（这种超级贵纸质电子版都买不起所以下载盗版 PDF 的）书虽然有赏心悦目的 Retina 而且作批注特别方便但实在是太费眼睛了于是我放进 kpw 带着地铁上看了所以后面的部分就木有 mark down 了呢。诶呀 Kindle 还是反应太慢了只能用来线性阅读小说和故事君！> <回应 20150414 19:40 
Ridin Solo (You lights up fire in my soul.)
Quantitative finance The subject is an interdisciplinary mix of physicsinspired models, mathematical techniques, and computer science, all aimed at the valuation of financial securities. The best quantitative finance brings real insight into the relation between value and uncertainty, and it approaches the quality of real science; The worst is a pseudoscientific hodgepodge of complex mathematics...20140105 12:09
Quantitative financeThe subject is an interdisciplinary mix of physicsinspired models, mathematical techniques, and computer science, all aimed at the valuation of financial securities. The best quantitative finance brings real insight into the relation between value and uncertainty, and it approaches the quality of real science; The worst is a pseudoscientific hodgepodge of complex mathematics used with obscure justification.回应 20140105 12:09 
白乌鸦 (同声相应，同气相求。)
In an ideal world, he or she would simply offset the risk that IBMâ€™s price will rise by buying an IBM option similar to the one he or she sold, from someone else and at a cheaper price, thereby making a profit. Unfortunately, this is rarely possible. So instead, the dealer manufactures a similar option. This is where the BlackScholes model enters the picture. In 1973, Black and ...20120630 11:52 1人收藏
In an ideal world, he or she would simply offset the risk that IBM’s price will rise by buying an IBM option similar to the one he or she sold, from someone else and at a cheaper price, thereby making a profit. Unfortunately, this is rarely possible. So instead, the dealer manufactures a similar option. This is where the BlackScholes model enters the picture. In 1973, Black and Scholes showed that you can manufacture an IBM option by mixing together some shares of IBM stock and cash, much as you can create the fruit salad by mixing together apples and oranges. Of course, options synthesis is somewhat more complex than making fruit salad, otherwise someone would have discovered it earlier.Whereas a fruit salad’s proportions stay fixed over time (50 percent oranges and 50percent apples, for example), an option’s proportions must continually change. Options require constant adjustments to the amount of stock and cash in the mixture as the stock price changes. In fruit salad terms, you might start with 50 percent apples and 50 percent oranges, and then, as apples increase in price, move to 40 percent apples and 60 percentoranges; a similar decrease in the price of apples might dictate a move to 70 percent apples and 30 percent oranges. In a sense, you are always trying to keep the price of the mixture constant as the ingredients’ prices change and time passes.The exact recipe you need to follow is generated by the BlackScholes equation. Its solution, the BlackScholes formula, tells you the cost of following the recipe. Before Black and Scholes, no one even guessed that you could manufacture an option out of simpler ingredients, and so there was no way to figure out its fair price.回应 20120630 11:52

罗马森林 (Ask that your way be long)
â€œPerhaps even more now than then, graduate education is an extended adolescence during which highly intelligent young people see their world shrink to fit the dimensions of their advisor's laboratory... With their identities bound to the outcome of the thesis project, graduate students are socialized to view other options (teaching, industry, even changing to another type of work altogether) with...20150812 06:38
“Perhaps even more now than then, graduate education is an extended adolescence during which highly intelligent young people see their world shrink to fit the dimensions of their advisor's laboratory... With their identities bound to the outcome of the thesis project, graduate students are socialized to view other options (teaching, industry, even changing to another type of work altogether) with contempt.”By Linda Logdbergextended adolescence,这个形容非常准确，事实上很多人在graduate school并没有真正完成从上学到career planing的转变，而graduate school又是如此漫长，身边的同学也是一样年轻天真，当理想遭遇滑铁卢，很多人会陷入一种脆弱和偏激的情绪。回应 20150812 06:38 
陳長安 (朝闻道，夕看完日落死可矣。)
If you decide you don’t have to get A’s, you can learn an enormous amount in college. (11) What I had learned I had learned well. (11) Quants and their cohorts practice “financial engineering”—an awkward neologism coined to describe the jumble of activities that would better be termed quantitative finance.The subject is an interdisciplinary mix of physicsinspired models, mathematical t...20150414 19:40
If you decide you don’t have to get A’s, you can learn an enormous amount in college. (11)What I had learned I had learned well. (11)Quants and their cohorts practice “financial engineering”—an awkward neologism coined to describe the jumble of activities that would better be termed quantitative finance.The subject is an interdisciplinary mix of physicsinspired models, mathematical techniques, and computer science, all aimed at the valuation of financial securities. (14)Options pricing theory is the most successful theory not only in finance, but in all of economics. (16)The BlackScholes model tells us, almost miraculously, how to manufacture an option out of the underlying stock and provides an estimate of how much it costs us to do so. (18)I knew how few were the hours in the day one actually works seriously and undistractedly, and was momentarily tempted to start my own time sheet. (36)In much the same way, by a process options theorists call time decay, financial stock options lose their potential as they approach their own expiration. (38)It was nice to be able to contribute without having to be extraordinary. (41)电脑上看（这种超级贵纸质电子版都买不起所以下载盗版 PDF 的）书虽然有赏心悦目的 Retina 而且作批注特别方便但实在是太费眼睛了于是我放进 kpw 带着地铁上看了所以后面的部分就木有 mark down 了呢。诶呀 Kindle 还是反应太慢了只能用来线性阅读小说和故事君！> <回应 20150414 19:40 
Years later I met corporate lawyers and Will Street salesmen who touted the fringe benefits of their jobsfirstclass flights, expensive meals, and fancy hotels. I silently scorned their focus on the material benefits of work. In physics, I thought, the life itself was the benefit; talking about physics to interesting people in interesting places was the main dish, not the cutlery. I consoled m...
20150120 00:56
Years later I met corporate lawyers and Will Street salesmen who touted the fringe benefits of their jobsfirstclass flights, expensive meals, and fancy hotels. I silently scorned their focus on the material benefits of work. In physics, I thought, the life itself was the benefit; talking about physics to interesting people in interesting places was the main dish, not the cutlery.I consoled myself with a few sentences Einstein wrote in his autobiographical notes, composed at the age of 67, about the aftereffects of his final examinations: "This coercion had such a deterring effect [upon me] that, after I had passed the final examination, I found theconsideration of any scientific problems distasteful to me for an entire year."回应 20150120 00:56
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derman大叔很猛  来自京城老孟  20100305 
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订阅关于My Life as a Quant的评论:
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0 有用 人生hihi 20131119
Derman作为一个理工男能出书才是最牛逼的。。
0 有用 [已注销] 20120603
一个物理PhD如何进行职业选择的故事。在我看来，作者成功的因素有：1，尽可能的寻找与自己的兴趣相结合的职业；2，尽可能的和更优秀的一起工作；3，工作和学习中努力构建知识和技能的储备，机遇只垂青有准备的人。
0 有用 xhxyfd 20140123
前面挺精彩的，后面讲述金融工程的内容，有些地方比较枯燥
1 有用 QQ的汤包 20150326
世界上学物理的都像一家人，华尔街宽客的人生，身边太多例子了
0 有用 Alkis_Tangelis 20080818
看他的经历和所做，就知道这个人在金融界一定是个top的人物，然而书中没有一处显示自己成绩的地方，全是自己一路走来的心境，多半是自然，多半是随缘，没有太多的刻意设计，没有多么虚的我要成为top，一切水到渠成
0 有用 禾尹口 20161028
作为一个不务正业的学Q的学生，作为一个被Stochastic Calculus折磨得死去活来的留学狗，看到作者在投行保持了一个researcher的情怀有点崇拜哟。最后一章彰显了作为前物理phd的一点思考。
0 有用 Tristan 20161017
Pretty interesting~
0 有用 XenilugJ 20160821
有关volitility smile的模型建立还要仔细读一下。传记写得很好，描述的quant和其它相关部门打交道很详细，很有参考意义。
0 有用 空大愚 20160728
前半段很物理 后半段看不懂 总体感觉又臭又长 谁再推荐是量化第一本书 我就揍他
0 有用 earlybirdie 20160301
学物理的人总以为凭自己的智商就算要妥协换到别的field，然而现实是世界上有那么一撮不把工作当作妥协，而是全心全意爱着自己做的事的人。最近在学校总是被告知不要用什么十年规划限制自己，十年以后做的工作现在说不定还不存在呢  所以不要说大家都读CS就也去读CS，读当然能读，但真的甘心吗。发现自己越来越倾向于读物理了，即使会有那么多挣扎