In My Life as a Quant, Emanuel Derman relives his exciting journey as one of the first high-energy particle physicists to migrate to Wall Street. Page by page, Derman details his adventures in this field—analyzing the incompatible personas of traders and quants, and discussing the dissimilar nature of knowledge in physics and finance. Throughout this tale, he also reflects on the appropriate way to apply the refined methods of physics to the hurly-burly world of markets.

Brief Hours and Weeks is the author's account of growing up in a small, tightly knit, first-generation Polish-Jewish community in Cape Town in the 1940s, 50s, and 60s.Observing through at first naive and then later more sophisticated eyes, he describes his childhood and youth in a protective off-the-boat immigrant Jewish family in very British-Commonwealth South Africa as apartheid becomes increasingly coercive.Through vivid and candid personal stories, he brings t...

Emanuel Derman was a quantitative analyst (Quant) at Goldman Sachs, one of the financial engineers whose mathematical models became crucial for Wall Street. The reliance investors put on such quantitative analysis was catastrophic for the economy, setting off the ongoing string of financial crises that began with the mortgage market in 2007 and continues through today. Here Derman looks at why people -- bankers in particular -- still put so much faith in these models, and why it's a terrib...

Now in paperback, “a compelling, accessible, and provocative piece of work that forces us to question many of our assumptions” (Gillian Tett, author of Fool’s Gold).Quants, physicists working on Wall Street as quantitative analysts, have been widely blamed for triggering financial crises with their complex mathematical models. Their formulas were meant to allow Wall Street to prosper without risk. But in this penetrating insider’s look at ...

Trading desks on Wall Street and hedge funds everywhere increasingly generate their profits using quantitative financial models that rely on advanced mathematics and computers. Investment firms now routinely employ large quant departments staffed by former physicists, mathematicians and computer scientists. Emanuel Derman was one of the first physicists to move to Wall Street, and My Life as a Quant traces his pilgrims progress from ambitious academic scientist to managing director and hea...

The Volatility SmileThe Black-Scholes-Merton option model was the greatest innovation of 20th century finance, and remains the most widely applied theory in all of finance. Despite this success, the model is fundamentally at odds with the observed behavior of option markets: a graph of implied volatilities against strike will typically display a curve or skew, which practitioners refer to as the smile, and which the model cannot explain. Option valuation is not a s...