HOME > 상세정보

상세정보

My life as a quant: reflections on physics and finance

My life as a quant: reflections on physics and finance (26회 대출)

자료유형
단행본
개인저자
Derman, Emanuel.
서명 / 저자사항
My life as a quant: reflections on physics and finance / Emanuel Derman.
발행사항
Hoboken, N.J. :   Wiley ,   c2004.  
형태사항
xi, 292 p. : ill. ; 24 cm.
ISBN
0471394203 (cloth)
서지주기
Includes bibliographical references and index.
일반주제명
Options (Finance) Quantum theory. Mathematical physics. Investment advisors -- Biography. Physicists -- Biography.
주제명(개인명)
Derman, Emanuel.  
000 01014namuu2200313 a 4500
001 000045164738
005 20050426145424
008 041109s2004 njua b 001 0aeng
010 ▼a 2004007664
020 ▼a 0471394203 (cloth)
035 ▼a KRIC09556633
040 ▼a DLC ▼c DLC ▼d DLC ▼d 211009
042 ▼a pcc
050 0 0 ▼a HG4621 ▼b .D47 2004
082 0 0 ▼a 332.6/092 ▼a B ▼2 22
090 ▼a 332.6092 ▼b D435m
100 1 ▼a Derman, Emanuel.
245 1 0 ▼a My life as a quant: ▼b reflections on physics and finance / ▼c Emanuel Derman.
260 ▼a Hoboken, N.J. : ▼b Wiley , ▼c c2004.
300 ▼a xi, 292 p. : ▼b ill. ; ▼c 24 cm.
504 ▼a Includes bibliographical references and index.
600 1 0 ▼a Derman, Emanuel.
610 1 0 ▼a Derman, Emanuel.
650 0 ▼a Options (Finance)
650 0 ▼a Quantum theory.
650 0 ▼a Mathematical physics.
650 0 ▼a Investment advisors ▼v Biography.
650 0 ▼a Physicists ▼v Biography.

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 중앙도서관/서고6층/ 청구기호 332.6092 D435m 등록번호 111318048 도서상태 대출가능 반납예정일 예약 서비스 B M
No. 2 소장처 세종학술정보원/사회과학실/ 청구기호 332.6092 D435m 등록번호 151179861 도서상태 대출가능 반납예정일 예약 서비스 M
No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 중앙도서관/서고6층/ 청구기호 332.6092 D435m 등록번호 111318048 도서상태 대출가능 반납예정일 예약 서비스 B M
No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 세종학술정보원/사회과학실/ 청구기호 332.6092 D435m 등록번호 151179861 도서상태 대출가능 반납예정일 예약 서비스 M

컨텐츠정보

저자소개

이매뉴얼 더만(지은이)

컬럼비아 대학교에서 이론 물리학 박사 학위를 받았다. 기초 입자 물리학, 컴퓨터 과학 및 금융에 대한 수많은 글을 썼고, 널리 이용되는 블랙-더만-토이 글리 모델과 더만-카니 지역 변동성 모델을 공동 개발했다. 물리학자로 활도을 시작한 뒤 한동안 에이티앤티의 벨 연구소에 몸담고 있다가, 1985년에 골드만삭스 회사에 입사했고, 1997년에는 그 회사에서 전무 자리에 올랐다. 또 2000년에는 선가드 국제 금융 공학자 협회에서 올해의 금융 공학자로 선정됐고 2002년에는 <리스크>지의 명예의 전당에 오르는 등 수많은 상과 표창을 받았다.2007년 현재는 컬럼비아 대학교의 금융공학 과정 지도교수로, <리스크>지의 칼럼니스트로, 어느투자관리 회사의 위험 자문위원으로 일하고 있다. 지은책으로 <퀀트>가 있다.

정보제공 : Aladin

목차

Prologue: The Two Cultures.

Physics and finance. What quants do. The Black-Scholes model. Quants and traders. Pure thought and beautiful mathematics can divine the laws of physics. Can they do the same for finance?

Chapter 1. Elective Affinities.

The attractions of science. The glory days of particle physics. Driven by ambitious dreams to Co­lumbia. Legendary physicists and budding wunderkinder. Talent vs. character, plans vs. luck.

Chapter 2. Dog Years.

Life as a graduate student. Wonderful lectures. T.D. Lee, the brightest star in the firmament. Seven lean years. Getting out of graduate school, only half-alive.

Chapter 3. A Sort of Life.

The priesthood of itinerant postdocs. Research isn’t easy. Almost perishing, then publishing. The delirious thrill of collaboration and discovery.

Chapter 4. A Sentimental Education Oxford’s civilized charms. One physics paper leads to another. English idiosyncrasies. The anthro­posophists.

Chapter 5. The Mandarins.

Research and parenthood on New York’s Upper East Side. A good life, but ... the difficulties of a two-career family.

Chapter 6. Knowledge of the Higher Worlds.

A two-city family. New age meditations. Karma. Goodbye to physics.

Chapter 7. In the Penal Colony.

The world of industry – working for money rather than love. The Business Analysis Systems Cen­ter at Bell Labs. A small part of a giant hierarchy. Creating software is beautiful.

Chapter 8. Stop-Time.

Wall Street beckons. Interviewing at investment banks. Leaving the Labs.

Chapter 9. Transformer.

The Financial Strategies Group at Goldman, Sachs & Co. Learning options theory. Becoming a quant. Interacting with traders. A new cast of characters.

Chapter 10. Easy Travel To Other Planets.

The history of options theory. Meeting and working with Fischer Black.The Black-Derman-Toy model.

Chapter 11. Force of Circumstance.

Manners and mores on Wall Street. The further adventures of some of my acquaintances. Volatility is infectious.

Chapter 12. A Severed Head.

A troubled year at Salomon Bros. Modeling mortgages. Salomon’s skill at quantitative marketing. Mercifully laid off.

Chapter 13. Civilization & Its Discontents.

Goldman as home. Heading the Quantitative Strategies Group. Equity derivatives. The Nikkei puts and exotic options. Nothing beats working closely with traders. Financial engineering becomes a real field.

Chapter 14. Laughter in the Dark.

The puzzle of the volatility smile. Beyond Black-Scholes: the race to develop local-volatility mod­els of options. The right model is hard to find.

Chapter 15. The Snows of Yesteryear.

Wall Street consolidates. Clothing goes casual. I move from equity derivatives to firmwide risk. The bursting of the internet bubble. I take my leave.

Chapter 16. The Great Pretender.

Full circle, back to Columbia. Physics and finance redux. Different endeavors require different de­grees of precision. Financial models as gedanken experiments.

Acknowledgments.

Index.


정보제공 : Aladin

관련분야 신착자료

Schiller, Maurece (2022)