Sách My Life as a Quant: Reflections on Physics and Finance
Trong bài viết về mô hình Black-Scholes chúng ta đã có dịp đọc qua một vài nội dung trong quyển sách “My Life as a Quant: Reflections on Physics and Finance” (khái niệm Quant chỉ những chuyên gia trong lĩnh vực Tài chính Định lượng). Trong bài này mình post lại quyển sách để ai có hứng thú có thể tìm đọc. Đây cũng là một trong những quyển sách bán rất chạy và nhận được đông đảo sự ủng hộ và đánh giá cao trong lĩnh vực Quant.
EMANUEL DERMAN is Head of Risk at Prisma Capital Partners and a professor at Columbia University, where he directs their program in financial engineering. He is the author of My Life As A Quant, one of Business Week’s top ten books of the year, in which he introduced the quant world to a wide audience. His latest book is Models.Behaving.Badly: Why Confusing Illusion with Reality Can Lead to Disasters,On Wall Street and in Life.
He was born in South Africa but has lived most of his professional life in Manhattan in New York City, where he has made contributions to several fields. He started out as a theoretical physicist, doing research on unified theories of elementary particle interactions. At AT&T Bell Laboratories in the 1980s he developed programming languages for business modeling. From 1985 to 2002 he worked on Wall Street, running quantitative strategies research groups in fixed income, equities and risk management, and was appointed a managing director at Goldman Sachs & Co. in 1997. The financial models he developed there, the Black-Derman-Toy interest rate model and the Derman-Kani local volatility model, have become widely used industry standards.
In his 1996 article Model Risk Derman pointed out the dangers that inevitably accompany the use of models, a theme he developed in My Life as a Quant. Among his many awards and honors, he was named the SunGard/IAFE Financial Engineer of the Year in 2000. He has a PhD in theoretical physics from Columbia University and is the author of numerous articles in elementary particle physics, computer science, and finance.
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