EP 016 Emanuel Derman
Startup Geometry Podcast
English - January 11, 2016 01:00 - 52 minutes - 60 MB - ★★★★★ - 9 ratingsNews Arts Books Homepage Download Apple Podcasts Google Podcasts Overcast Castro Pocket Casts RSS feed
Emanuel Derman first had a successful career as a particle physicist, and then an even more successful career on Wall Street, doing advanced mathematical modeling of financial instrument prices and volatility. Currently, he is a professor at Columbia University, where he directs the program in financial engineering. He's the author of My Life as a Quant and Models.Behaving.Badly.
Today, we talk about the differences between models & theories, finance & physics, and life & experiments. We look under the hood of the Black-Scholes[-Merton] option pricing formula, talk about the gaps in classical and behavioral financial models, and find out what he would change about his life if he could live it again.
Show Notes and Links
Emanuel Derman first had a successful career as a particle physicist, and then an even more successful career on Wall Street, doing advanced mathematical modeling of financial instrument prices and volatility. Currently, he is a professor at Columbia University, where he directs the program in financial engineering. He’s the author of My Life as a Quant and Models.Behaving.Badly.
Today, we talk about the differences between models & theories, finance & physics, and life & experiments. We look under the hood of the Black-Scholes[-Merton] option pricing formula, talk about the gaps in classical and behavioral financial models, and find out what he would change about his life if he could live it again.
Show Notes and Links