Emanuel Derman

Models. Behaving. Badly

Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life

Buch

Emanuel Derman was a quantitative analyst (Quant) at Goldman Sachs,one of the financial engineers whose mathematical models becamecrucial for Wall Street. The reliance investors put on suchquantitative analysis was catastrophic for the economy, setting offthe ongoing string of financial crises that began with the mortgagemarket in 2007 and continues through today. Here Derman looks atwhy people -- bankers in particular -- still put so much faith inthese models, and why it's a terrible mistake to do so.Though financial models imitate the style of physics and employthe language of mathematics, ultimately they deal with humanbeings. There is a f… Mehr

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Produktdetails

ISBN: 978-1-119-96716-3
EAN: 9781119967163
Produktnummer: 23140359
Verlag: Wiley
Sprache: Englisch
Erscheinungsjahr: 2011
Seitenangabe: 240 S.
Masse: H22.9 cm x B15.2 cm x D2.6 cm 496 g
Gewicht: 496

Über den Autor

EMANUEL DERMAN is Head of Risk at Prisma Capital Partnersand a professor at Columbia University, where he directs theirprogram in financial engineering. He is the author of My Life AsA Quant, one of Business Week's top ten books of the year, inwhich he introduced the quant world to a wide audience.He was born in South Africa but has lived most of his professionallife in Manhattan in New York City, where he has made contributionsto several fields. He started out as a theoretical physicist, doingresearch on unified theories of elementary particle interactions.At AT&T Bell Laboratories in the 1980s he developed programminglanguages for business modeling. From 1985 to 2002 he worked onWall Street, running quantitative strategies research groups infixed income, equities and risk management, and was appointed amanaging director at Goldman Sachs & Co. in 1997. The financialmodels he developed there, the Black-Derman-Toy interest rate modeland the Derman-Kani local volatility model, have become widely usedindustry standards.In his 1996 article Model Risk Derman pointed out thedangers that inevitably accompany the use of models, a theme hedeveloped in My Life as a Quant. Among his many awards andhonors, he was named the SunGard/IAFE Financial Engineer of theYear in 2000. He has a PhD in theoretical physics from ColumbiaUniversity and is the author of numerous articles in elementaryparticle physics, computer science, and finance.