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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My Life as a Quant的话题 · · · · · · ( 全部 条 )
My Life as a Quant的书评 · · · · · · ( 全部 64 条 )
原高盛执行董事，哥伦比亚金工系主任Derman对找工作的建议
The Human Side of Quantitative Finance  Great Read!
> 更多书评 64篇

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人喜欢
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 (心系于所缘)
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人喜欢
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 light 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 (心系于所缘)
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人喜欢
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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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
1 有用 渡渡 20131010
and my life cant be a quant...
0 有用 sign 20100310
其实很悲凉
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 ls_steven 20110809
还不错的故事。感觉物理学比我一直以为的还有趣。而作者及其同时代的很多人的转行经历，也十分的有意思。
0 有用 LÉON×豆瓣 20190412
想就学术从业者的“幻灭感”作一句评论。这本书开篇的一个章节写当时在物理系做理论物理的作者每天都非常有危机感——起床工作了一个小时如果自我感觉写的东西没有达到“爱因斯坦”的高度就会觉得自己是个毫无价值的废物…
0 有用 略略 20181125
这心路历程写得简直是ps范本…
0 有用 陳長安 20181017
信息密度太低了 8
0 有用 老白的老泡 20180910
前面看在学术圈的经历，觉得作者很失败，然而在金融圈就风生水起了，果然只有最顶尖的大脑才适合理论物理，降维打击好可怕；后面做金融模型的经历，居然觉得很有共鸣，但是能做出什么来不仅仅是靠能力还有时运；作者40岁以后才开始转行金融，却在十几年内能有不俗的成就，一部分是运气，一部分却也说明人生其实没必要纠结什么进度条。
0 有用 啵啵杰克伦敦 20180802
生命满希望，前路由我创。读完有点劝退的感觉lol