Derman’s Life as a Quant

June 18, 2008

Nearing the end of Derman’s book, and I can recommend it wholeheartedly to any developer working in the rates business. It’s written in an easy style with a well balanced mix of personal and family narrative, accessible technical content and anecdote. Derman covers his physics career – we encounter Richard Feynmann and Douglas Hofstadter (Godel, Escher, Bach) while enjoying a survey of particle physics in the 60s and 70s. Then Derman moves on to Bell Labs where he learns to code and works with Kernighan, Ritchie, Plauger and Stroustrup. Then on to Wall St, Goldmans, Salomon Bros, Fischer Black, John Meriwether, Gutfreund and many of the usual suspects familiar from Liars Poker, FIASCO etc. It’s all leavened with insight on theoretical and experimental work in physics, coding and financial modelling.

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