My Life as Quant: Reflections on Physics and Finance

My Life as Quant is life-story of Emanuel Derman, who shifted from his day job at Bell Labs as a scientist to shift to New-York to work at the wall-street.  Presently, he is head of risk at Prisma Capital Partners, with additional responsibility of being the professor and director of program in Financial Engineering at Columbia University. After his PhD in theoretical physics at Columbia University, he went on to do applied physics at Bell Laboratories. But he develops other tastes to abandon physics entirely to work at wall-street. He dabbled as a Quantitative Analyst (Quant) at Goldman Sachs & Co., but continues to wonder whether markets can be really be understood by anyone.  At Goldman Sachs he worked a good amount of time starting from 1985 to 2003 to be elevated to the level of director in 1997. He invented a tool for pricing options on Treasury Bonds – working with esteemed colleagues like Bill Toy and the late Fisher Black (the father of Black Scholes formula).This later came to known as the Black-Derman-Toy model, which allowed desks to come up with prices of treasury bonds based on math, rather than plain guesswork. The formula helped deduce the “local volatility” of conventional options at each moment of stock price and each moment of expiration and the information can be used to decide the price on exotic options more accurately. This book and other business books are available on the internet shopping website, homeshop18.