Wednesday, May 02, 2012

My life as a quant

It was Labour day on May 1st/ German takes these things more seriously than the UK, so we got a holiday on the day, rather than next Monday. To celibate Labour day I started reading  Frequently Asked Questions in Quantitative Finance by Paul Willmot. Unfortunately I needed a primer for this FAQ.

A long time ago I had purchased "My Life as a Quant" by Emanuel Derman. Emanual started his working life wanting to be a Physicist at a University. He was a graduate student at Colombia in high energy particle theory. The first part of the books is his experiences working as a graduate student and then as a postdoc. He starts out wanting to be the next Einstein, but ends up being envious of a postdoc in another office who gets invited to give a  seminar in France.  I liked the story that he was happy when he and another graduate student heard that there had been a small bomb in the bath room of the physics department of Columbia University. Some grad students can be so bitter I read about his struggles to write papers and get new postdoc positions and not getting on with his boss.

He worked in the general areas of phenomenology, but seemed to know a lot of people in (or used to be in) the field of lattice QCD. Given that he seemed to like computers he might have moved into lattice QCD, if he had stayed in physics after the 1980s, but he might not of liked the engineering aspects of some parts of the field, because he was still dreaming of being the next Einstein.

In the end he became quant, and this seemed to be something he was both good at and really enjoyed.
Although he is very careful in the book to say that the models may not work, given that the current economy has almost been destroyed by investment bankers and their dodgy models, he was not careful enough.  Although he is very well read, he never asked the metaquestion: do we really need these complicated financial instruments? Part of graduate training at Columbia probably didn't include sessions on why we need high energy physics.

I liked the way he added code to programs so that he could tell who was using the programs. He could then show the management who useful his group was -- that was good when people were getting laid off in other parts of the company.