MyLifeasaQuant:ReflectionsonPhysicsandFinance《我的金融工程师生涯》：物理学与金融反映 txt umd azw3 下载 fb2 pdf 在线 免费

In My Life as a Quant, Emanuel Derman relives his exciting journey as one of the first high-energy particle physicists to migrate to Wall Street. Page by page, Derman details his adventures in this field—analyzing the incompatible personas of traders and quants, and discussing the dissimilar nature of knowledge in physics and finance. Throughout this tale, he also reflects on the appropriate way to apply the refined methods of physics to the hurly-burly world of markets.

Prologue: The Two Cultures.

Chapter 1. Elective Affinities.

Chapter 2. Dog Years.

Chapter 3. A Sort of Life.

Chapter 4. A Sentimental Education.

Chapter 5. The Mandarins.

Chapter 6. Knowledge of the Higher Worlds.

Chapter 7. In the Penal Colony.

Chapter 8. Stop-Time.

Chapter 9. Transformers.

Chapter 10. easy Travel to Other Planets.

Chapter 11. Force of Circumstance.

Chapter 12. AQ Severed Head.

Chapter 13. Civilization and Its Discontents.

Chapter 14. Laugher in the Dar.

Chapter 15. The Snows of Yesteryear.

Chapter 16. the Great Pretender.

Acknowledgements.

About the Author.

Index.

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尽管为了完成博士论文花费了很长时间，但我并没有真正的遗憾过：从某种程度上讲，我为其中的努力而感到骄傲。我在那些年里学到的东西——百折不挠的韧性与数学知识，对我无论是在华尔街还是在学术界都非常有帮助。在任何领域内，只要有人想发现新大陆，他就要花费多年去思考、不断试错、在歧途中徘徊、在误区中跌跌撞撞，最终还要站起来继续前行。从这个角度来说，货得博士学位是一个很好的、痛苦的磨练过程。

Karma is the mechanical expiation of sin and at that time I thought I understood its meaning. The universe wanted you to renounce vanity, ambition, and pride, and embrace God. To do it voluntarily would be best. But if you didn't, then Karma, the everyday workings of the universe, would slowly and mechanically grind away at your vanities, flaying off your skin of pride and self-importance, like potatoes in an automated peeler, until you submitted.

But no mathematical model can capture the intricacies of human psychology. Watching traders occasionally put too much faith in the power of formalism and mathematics , I saw that if you listen to the models' siren song for too long, you may end up on the rocks or in the whirlpool.

Models are better regarded as a collection of parallel thoughts universes you can explore. Each universe should be consistent, but the actual financial and human world, unlike the world of matter, is going to be infinitely more complex than any model we make of it. We are always trying to shoehorn the real world into one of the models to see how useful an approximation it is.

You must always ask: Does the model give you a set of plausible variables to describe the world, and a set of relationships between them that permits its analysis and investigation? You're always trying to make a limited approximation of reality, using variables that people can comprehend, so that you can say to yourself or your boss, for example, " I was short emerging-market volatility, so we lost money when the cri...

UNIX操作系统对编程者们来说是一个令人激动人心的开发环境。它包括了我曾经见过的最漂亮的工具程序中的两个：它们被称为"lex"和"yacc"，这两个工具程序让我几乎可以毫不费力地设计出编译程序。"lex"是“词法分析器”（lexical analyzer）的缩写，而"yacc"这代表了“目前为止又多了一个编译程序的编译程序”（Yet Another Compiler-Compiler）。像对很多UNIX工具程序一样，人们采用了短小可爱的首字母缩写形式来命名“yacc”。你可以用lex来设计一个子程序以识别合法的句子，然后执行你认为合适的命令。Lex和yacc都是“非过程性的”程序，也就是说你不用写出词法和语法分析的所有细节，你只需要告诉它们你需要识别"什么样"的语法，然后它们就可以使用与回塑到计算机先驱艾伦图灵和史蒂芬克林使用过的模式相匹配的算法规则，编写出一个程序来完成这项任务。我在lex和yacc的帮助下，学会了设计我自己的计算机语言。

我从在哥大遇见的教授和学生们各自的命运上领悟到了一点：最终来看，性格和机会至少是与天赋同等重要的。运气，再加上我母亲所说的“sitzfleisch",也就是坚韧不拔的毅力，两者起到至关重要的作用。

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作者介绍：Emanuel Derman

　　Emanuel Derman is a principal and Head of Risk at Prisma Capital Partners and a professor and Director of the Program in Financial Engineering at Columbia University. He was formerly a managing director at Goldman, Sachs & Co., which he joined in 1985 after an initial career in academic life and at AT&T Bell Laboratories. He is the co-creator of the widely used Black-Derman-Toy interest rate model and the Derman_Kani local volatility model. Among his many awards and honors, he was named the SunGard/IAFE Financial Engineer of the Year in 2000 and was appointed to the Risk Hall of Fame in 2002. He has a PhD in theoretical physics from Columbia University and is the author of numerous articles in elementary particle physics, computer science, and finance.

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In My Life as a Quant, Emanuel Derman relives his exciting journey as one of the first high–energy particle physicists to migrate to Wall Street. Page by page, Derman details his adventures in this field—analyzing the incompatible personas of traders and quants, and discussing the dissimilar nature of knowledge in physics and finance. Throughout this tale, he also reflects on the appropriate way to apply the refined methods of physics to the hurly–burly world of markets.