Models. Behaving. Badly.: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life
Idioma: inglés
Editorial: Wiley, 2011
- Tapa dura
- Usado
Librería: Phatpocket Limited, Waltham Abbey, HERTS, Reino UnidoPhatpocket Limited
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N° de ref. del artículo Z1-L-012-02683
- Título
- Models. Behaving. Badly.: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life
- Autor
- Derman, Emanuel
- Editorial
- Wiley
- Año de publicación
- 2011
- Estado
- Good
- Encuadernación
- Encuadernación de tapa dura
- Idioma
- inglés
- ISBN 10
- 1119967163
- ISBN 13
- 9781119967163
Though financial models imitate the style of physics and employ the language of mathematics, ultimately they deal with human beings. There is a fundamental difference between the aims and potential achievements of physics and those of finance. In physics, theories aim for a description of reality; in finance, at best, models can shoot only for a simplistic and very limited approximation to it. When we make a model involving human beings, we are trying to force the ugly stepsister's foot into Cinderella's pretty glass slipper. It doesn't fit without cutting off some of the essential parts. Physicists and economists have been too enthusiastic to acknowledge the limits of their equations in the sphere of human behavior--which of course is what economics is all about.
Models.Behaving.Badly includes a personal account of Derman's childhood encounters with failed models--the oppressions of apartheid and the utopia of the kibbutz. He describes his experience as a physicist on Wall Street, the models quants generated, the benefits they brought and the problems, practical and ethical, they caused. Derman takes a close look at what a model is, and then highlights the differences between the successes of modeling in physics and its failures in economics. Describing the collapse of the subprime mortgage CDO market in 2007, Derman urges us to stop the naïve reliance on these models, and offers suggestions for mending them. This is a fascinating, lyrical, and very human look behind the curtain at the intersection between mathematics and human nature.
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Acerca del autor
He was born in South Africa but has lived most of his professional life in Manhattan in New York City, where he has made contributions to several fields. He started out as a theoretical physicist, doing research on unified theories of elementary particle interactions. At AT&T Bell Laboratories in the 1980s he developed programming languages for business modeling. From 1985 to 2002 he worked on Wall Street, running quantitative strategies research groups in fixed income, equities and risk management, and was appointed a managing director at Goldman Sachs & Co. in 1997. The financial models he developed there, the Black-Derman-Toy interest rate model and the Derman-Kani local volatility model, have become widely used industry standards.
In his 1996 article Model Risk Derman pointed out the dangers that inevitably accompany the use of models, a theme he developed in My Life as a Quant. Among his many awards and honors, he was named the SunGard/IAFE Financial Engineer of the Year in 2000. He has a PhD in theoretical physics from Columbia University and is the author of numerous articles in elementary particle physics, computer science, and finance.
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Phatpocket Limited
Waltham Abbey, HERTS, Reino Unido
Vendedor de IberLibro desde 28 de abril de 2005
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| Artículo | De 5 a 19 días hábiles | De 1 a 3 días hábiles |
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Phatpocket Limited is a world class secondhand bookstore located in the Hertfordshire countryside in the United Kingdom. We specialize in textbooks across an enormous variety of subjects. We aim to provide a low cost source of high quality textbooks to the academic community. We also have a sizable collection of rare and collectible books. We are dedicated to providing our customers with the highest standard of customer service in the bookselling business.Phatpocket Limited is registered in England and Wales: No. 04924751.…
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