Emanuel Derman

Sophisticated vulgarity 1

July 28, 2011

I said I would try to explain what I mean by sophisticated vulgarity in financial modeling, which I will do by imperfect analogy.

American declinist

July 26, 2011

Edward Hadas of the FT/Lex has an interesting video on the debt ceiling fiasco called  Playing Chicken with America’s Future. He calls himself an American Declinist.

Free dog nights

July 25, 2011

Near record heat in NYC, 92 degrees even at 9pm.

U.S. govt messed up as usual. Europe too.

The Norway killings.

I was in Norway twice.  The first time was during the LTCM/Russian default crisis, which occurred while I was hiking around the fjords with a group of Norwegians, mostly middle-aged women it turned out. Every day before the start of the hike they played a cassette with the theme song of the Lillehammer Winter Olympics and did three minutes worth of aerobics to it in unison. I grinned the first time, but you should have seen them bound up and down the hills like mountain goats. Especially down, which took more skill. Not only that, but they all loved Bill Clinton. “I like a man who likes women,” one of them said. I went to Norway a second time, about six years later, to Balestrand and Bergen, and it was beautiful. I’d love to go again.

How should one punish organizations?

July 19, 2011

There is an orgy of glee as people watch the News of the World implode and see powerful or formerly powerful people threatened with legal action and loss of power.  It’s a nice distraction in which almost everyone can feel righteous. There was a similar frenzy when FNMA, FHLMC and Lehman collapsed, but with no consequent long term behavioral consequences. One of the questions I don’t know the answer to, but which keeps presenting itself to me these days, is:

The plague of pragmamorphism

July 13, 2011

You’d think physicists would see everything in material terms, but it’s biologists and neuroscientists who are the new materialists …

Ri$k management

July 12, 2011

There is an article on Bloomberg about the salaries earned by risk managers, here.

Financial engineering as a career: Part 2

July 7, 2011
(More Notes From What May Be An Article)

What’s Your Edge?
If you are going to seek a career in quantitative finance, what’s your advantage? Is it computer science, financial theorizing, pragmatic modeling, sales or trading, working on the desk with people or solitarily in an office? Which are you best at and, also, which do you enjoy doing most?

Financial engineering as a career: Part 1

July 7, 2011

The other day the new MSFE students showed up at Columbia for orientation and I had to welcome them. These are some notes from what I said.

The Tree of Life

July 5, 2011

Last night I went to see Terrence Malick’s “The Tree of Life.” It’s not a movie, it’s a multiverse, a meditation, a “Koyanisqaatsi” inspired by the Bible rather than by Buddhist texts.

There are many ways to die, some via doctors

July 1, 2011

Many articles lately about protecting your portfolio against “tail risk.”

Tail risk, unfortunately, is not one thing.

Death can be caused by many illnesses. To protect yourself against death successfully for an extended period you may need vaccination against many viruses and a variety of antibiotics against germs. Worse, some of the treatments may be hazardous to your health; many diseases are in fact iatrogenic, caused by the doctors and medicines intended to cure the patient. There is no panacea.