Models. Behaving. Badly.

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

Emanuel Derman  is a South African-born academic,[1] businessman and writer. He is best known as a quantitative analyst, and author of the book My Life as A Quant: Reflections on Physics and Finance.[2]

He is a co-author of Black-Derman-Toy model, one of the first interest-rate models, and the Derman-Kani local volatility or implied tree model, a model consistent with the volatility smile.

He is currently a professor at Columbia University[3] and Director of its program in financial engineering, and is also the Head of Risk and a partner at Prisma Capital Partners, a fund of funds. His book My Life as A Quant: Reflections on Physics and Finance, published by Wiley in September 2004, was one of Business Week‘s top ten books of the year for 2004.[4] His forthcoming book Models.Behaving.Badly, will be published by Free Press in October 2011.    – Wikipedia

This is good stuff.  Take the time to watch the videos.   Money quote:   “In finance you can’t predict the future even to one decimal place…..[if you could] there would be no need for markets.”

(click here if videos are not observable)

This entry was posted in Economics, General Interest and tagged , . Bookmark the permalink.

1 Response to Models. Behaving. Badly.

  1. Pingback: Weekend Reading – Stuff we found interesting this week | Lighthouse Securities

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