Emanuel Derman’s My Life as a Quant: Reflections on Physics and Finance is a gentle amble through a career that took in physics and then taking mathematical analysis to Wall Street at a time when advanced maths was still a novel approach in finance. At times it has the feel of a local community newspaper about it – unwilling to say anything too unpleasant about anyone and repeatedly name-checking people with only tangential roles in the story. In his case, I suspect (and hope) that reflects a charming, polite outlook on life from the author.
Derman’s professional achievements were impressive though, as he readily admits, he was not quite in the very top league. He was however, Forest Gump like, a close witness to much that caught history’s headlines, including the work of many Nobel prize winners and the major financial changes of the 1980s. He gives a good sense of what it actually is that pure physicists and financial engineers get up to day to day – and how important improving existing systems, be they tangible or intellectual, can be alongside the search for a major breakthrough that overturns those existing systems completely.
Reading his account after the (latest) financial crash makes me wish for more from Derman on the limitations of modelling risk in financial markets – the field he ended up being a highly respected expert in – than the brief thoughts there are towards the end of the book. Nor does the book reveal that much about the author himself beyond the fairly obvious, such as that working and living many miles away from the rest of your family brings strains and moments of deep unhappiness.
But even so, it’s an enjoyable read that illustrates how important choices over styles of thinking and preferences for modelling are in science, maths and other fields that increasingly rely on techniques from those fields.
British listeners to the audio version of the book can enjoy the bonus of some hilariously mis-pronounced British places from Derman’s time in the UK.