Models. Behaving. Badly. : Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life

Emanuel Derman

ISBN 10: 1439164991 / ISBN 13: 9781439164990

Published by Free Press Jul 2012, 2012

About this Item

Neuware - Now in paperback, 'a compelling, accessible, and provocative piece of work that forces us to question many of our assumptions' (Gillian Tett, author of Fool's Gold).Quants, physicists working on Wall Street as quantitative analysts, have been widely blamed for triggering financial crises with their complex mathematical models. Their formulas were meant to allow Wall Street to prosper without risk. But in this penetrating insider's look at the recent economic collapse, Emanuel Derman-former head quant at Goldman Sachs-explains the collision between mathematical modeling and economics and what makes financial models so dangerous. Though such models imitate the style of physics and employ the language of mathematics, theories in physics aim for a description of reality-but in finance, models can shoot only for a very limited approximation of reality. Derman uses his firsthand experience in financial theory and practice to explain the complicated tangles that have paralyzed the economy. Models.Behaving.Badly. exposes Wall Street's love affair with models, and shows us why nobody will ever be able to write a model that can encapsulate human behavior.

Seller Inventory # 9781439164990

Bibliographic Details

• Title: Models. Behaving. Badly. : Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life
• Publisher: Free Press Jul 2012
• Publication Date: 2012
• Language: English
• ISBN 10: 1439164991
• ISBN 13: 9781439164990
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 222W x 141H x 18D millimeters 222 millimeters width by 141 millimeters height by 18 millimeters depth
• Weight: 218 grams

About this title

Synopsis

Now in paperback, “a compelling, accessible, and provocative piece of work that forces us to question many of our assumptions” (Gillian Tett, author of Fool’s Gold).

Quants, physicists working on Wall Street as quantitative analysts, have been widely blamed for triggering financial crises with their complex mathematical models. Their formulas were meant to allow Wall Street to prosper without risk. But in this penetrating insider’s look at the recent economic collapse, Emanuel Derman—former head quant at Goldman Sachs—explains the collision between mathematical modeling and economics and what makes financial models so dangerous. Though such models imitate the style of physics and employ the language of mathematics, theories in physics aim for a description of reality—but in finance, models can shoot only for a very limited approximation of reality. Derman uses his firsthand experience in financial theory and practice to explain the complicated tangles that have paralyzed the economy. Models.Behaving.Badly. exposes Wall Street’s love affair with models, and shows us why nobody will ever be able to write a model that can encapsulate human behavior.

About the Author

Emanuel Derman is a professor at Columbia University and Director of the university’s program in financial engineering. Until his retirement in 2002, he spent sixteen years at Goldman Sachs as a quant.