My guest today is Emanuel Derman, a South African-born businessman and writer, best known as a quantitative analyst. Derman, who first came to the U.S. at age 21, in 1966, is currently a professor at Columbia University and Director of its program in financial engineering. Until recently he was also the Head of Risk and a partner at KKR Prisma Capital Partners, a fund of funds.
The topics are his books My Life As A Quant: Reflections on Physics and Finance and Models Behaving Badly.
In this episode of Trend Following Radio we discuss:
Why economics can be an ‘incestuous’ field Economics as a moral science Why all four of the US investment banks were not allowed to go by the wayside Derman’s background and his PhD in theoretical physics Derman’s early eye-opening experiences at Goldman Sachs Model building, and how Derman was indoctrinated into the world of model building The financial model and science and the physics model and science Short volatility models vs. long volatility models How one estimates risk Models vs. theories Whether Derman finds a certain amount of pushback from others in the academic communityJump in!
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I’m MICHAEL COVEL, the host of TREND FOLLOWING RADIO, and I’m proud to have delivered 10+ million podcast listens since 2012. Investments, economics, psychology, politics, decision-making, human behavior, entrepreneurship and trend following are all passionately explored and debated on my show.
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