Abrazolica

My Life as a Quant: Reflections on Physics and Finance, by Emanuel Derman

Thanks to my brother Stefan for recommending this book.

My Life as a Quant is a must read for:

• physicists and mathematicians who have become quants.
• physicists and mathematicians who are thinking of becoming quants.
• students considering whether to spend several years of their lives working on a PhD.

and also recommended to:

• physicists and mathematicians who enjoy computer programming.
• anyone who wants to know what derivatives are (in finance, not calculus).
• anyone who is curious about what quants do.
• anyone interested in quantitative finance.
• anyone with the ambition of developing a grand unified theory of finance.
• anyone who would enjoy a well written autobiography by a thoughtful highly intelligent physicist turned quant with a refreshingly small ego.

This book has the following distinctly different parts:

• life as a student at Columbia University.
• life as a postdoc at Oxford, Rockefeller, and Boulder.
• leaving physics as a profession and working at Bell Labs.
• life as a quant at Goldman Sachs and Solomon Brothers.
• description of his work on options and other derivatives.

The biggest surprise in this book was the discussion of computer programming and how he really enjoyed it, in particular using lex and yacc in implementing new languages.

Stefan and I also enjoyed his description of Boulder Colorado in the 70's. We live nearby, and can say that it's experimentalist culture lives on.

I found this book to be remarkably interesting, and well written.

If you've enjoyed My Life as a Quant, you'll be happy to know he's got a sequel coming out: Models.Behaving.Badly: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life, scheduled to be released October 2011.

The author's blog is also pretty good.

Don't miss the great document on his website called Beware of Economists Bearing Greek Symbols.