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的书评 · · · · · · (全部 58 条)
原高盛执行董事，哥伦比亚金工系主任Derman对找...
强烈剧透！慎入：理论物理学生还是很爽的
这篇书评可能有关键情节透露
万幸，世上多数的天才还是更愿意和上帝玩游戏。
> 更多书评58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 
高等游民白乌鸦 (绝学无忧)
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 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 
高等游民白乌鸦 (绝学无忧)
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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在哪儿借这本书 · · · · · ·
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订阅关于My Life as a Quant的评论:
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0 有用 Tianyu 20140719
whining whining whining
0 有用 look 20130916
撇开其他，小说一样精彩：一个“我如何成为我”的故事！！
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 trace 20141016
An authentic autobiography by an experienced quant on Wall Street. Formerly a PhD in particle physics, Derman's combined quality of academia and business had served him well. Listed and narrated, the glorious epic of Columbia's Physics Department, filled with Noble Prize receivers, gives us a glimpse of a postdoc life surrounded by geniuses.
0 有用 糊涂散人 20140624
研一时读过一次，今天重读。看到写Douglas R. Hofstadter一节还是没忍住眼泪。
0 有用 IDk 20170823
基本上是作者职业生涯的记录 前半部分是在理论物理界只有仰望各路大神的资格 只能各处流浪做点简单工作 后半部分是在金融圈里 稳扎稳打 逐步发展的历史 穿插很理论的解释 非专业的人士不太容易懂 不过作者对于职场的观察 总结和领悟是很值得年轻人学习的 行文朴实准确 带着知识分子的幽默感
0 有用 Yohna 20170303
大一暑假
0 有用 Damian 20161204
the book u gotta to read on ur way of being a quant
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~