The Quants

How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It

Author: Scott Patterson

Publisher: Crown Business

ISBN: 9780307453396

Category: Business & Economics

Page: 352

View: 9480

With the immediacy of today’s NASDAQ close and the timeless power of a Greek tragedy, The Quants is at once a masterpiece of explanatory journalism, a gripping tale of ambition and hubris, and an ominous warning about Wall Street’s future. In March of 2006, four of the world’s richest men sipped champagne in an opulent New York hotel. They were preparing to compete in a poker tournament with million-dollar stakes, but those numbers meant nothing to them. They were accustomed to risking billions. On that night, these four men and their cohorts were the new kings of Wall Street. Muller, Griffin, Asness, and Weinstein were among the best and brightest of a new breed, the quants. Over the prior twenty years, this species of math whiz--technocrats who make billions not with gut calls or fundamental analysis but with formulas and high-speed computers--had usurped the testosterone-fueled, kill-or-be-killed risk-takers who’d long been the alpha males the world’s largest casino. The quants helped create a digitized money-trading machine that could shift billions around the globe with the click of a mouse. Few realized, though, that in creating this unprecedented machine, men like Muller, Griffin, Asness and Weinstein had sowed the seeds for history’s greatest financial disaster. Drawing on unprecedented access to these four number-crunching titans, The Quants tells the inside story of what they thought and felt in the days and weeks when they helplessly watched much of their net worth vaporize--and wondered just how their mind-bending formulas and genius-level IQ’s had led them so wrong, so fast.

Keeping Up with the Quants

Your Guide to Understanding and Using Analytics

Author: Thomas H. Davenport,Jinho Kim

Publisher: Harvard Business Press

ISBN: 1422187268

Category: Business & Economics

Page: 240

View: 1726

Why Everyone Needs Analytical Skills Welcome to the age of data. No matter your interests (sports, movies, politics), your industry (finance, marketing, technology, manufacturing), or the type of organization you work for (big company, nonprofit, small start-up)—your world is awash with data. As a successful manager today, you must be able to make sense of all this information. You need to be conversant with analytical terminology and methods and able to work with quantitative information. This book promises to become your “quantitative literacy" guide—helping you develop the analytical skills you need right now in order to summarize data, find the meaning in it, and extract its value. In Keeping Up with the Quants, authors, professors, and analytics experts Thomas Davenport and Jinho Kim offer practical tools to improve your understanding of data analytics and enhance your thinking and decision making. You’ll gain crucial skills, including: • How to formulate a hypothesis • How to gather and analyze relevant data • How to interpret and communicate analytical results • How to develop habits of quantitative thinking • How to deal effectively with the “quants” in your organization Big data and the analytics based on it promise to change virtually every industry and business function over the next decade. If you don’t have a business degree or if you aren’t comfortable with statistics and quantitative methods, this book is for you. Keeping Up with the Quants will give you the skills you need to master this new challenge—and gain a significant competitive edge.

The Quants

The maths geniuses who brought down Wall Street

Author: Scott Patterson

Publisher: Random House

ISBN: 1446493091

Category: Business & Economics

Page: 352

View: 3880

You're a genius. Nobody plays the financial markets better than you. What could possibly go wrong? Quants - quantitative analysts - were the maths masterminds let loose on Wall Street in the belief that their brilliant, impregnable computer programs would always beat the market. But as the catastrophic events of 2007 and 2008 showed, their seemingly failproof methods were little more than ticking timebombs. Inspired by the 'Godfather of Quants' - maths-professor-turned-gambler Ed Thorp, who began applying skills learned at the Vegas tables to the financial markets back in the 1950s - the quants achieved extraordinary success and massive wealth. This book charts their rise from obscurity to boom and then to bust, explaining why they were so confident - and how they got it so disastrously wrong.

The Rise of the Quants

Marschak, Sharpe, Black, Scholes and Merton

Author: Colin Read

Publisher: Palgrave Macmillan

ISBN: 023027417X

Category: Business & Economics

Page: 195

View: 6898

The third book in the Great Minds in Finance series examines the pricing of securities and the risk/reward trade off through the legends, contribution, and legacies of Jacob Marschak, William Sharpe, Fischer Black and Myron Scholes, and Robert Merton, influencing both theory and practice, enabling the question of how do we measure risk?

My Life as a Quant

Reflections on Physics and Finance

Author: Emanuel Derman

Publisher: John Wiley & Sons

ISBN: 1118428889

Category: Business & Economics

Page: 308

View: 8977

In My Life as a Quant, Emanuel Derman relives his exciting journey as one of the first high-energy particle physicists to migrate to Wall Street. Page by page, Derman details his adventures in this field—analyzing the incompatible personas of traders and quants, and discussing the dissimilar nature of knowledge in physics and finance. Throughout this tale, he also reflects on the appropriate way to apply the refined methods of physics to the hurly-burly world of markets.

Understanding and Managing Model Risk

A Practical Guide for Quants, Traders and Validators

Author: Massimo Morini

Publisher: John Wiley & Sons

ISBN: 0470977744

Category: Business & Economics

Page: 352

View: 8155

A guide to the validation and risk management of quantitative models used for pricing and hedging Whereas the majority of quantitative finance books focus on mathematics and risk management books focus on regulatory aspects, this book addresses the elements missed by this literature--the risks of the models themselves. This book starts from regulatory issues, but translates them into practical suggestions to reduce the likelihood of model losses, basing model risk and validation on market experience and on a wide range of real-world examples, with a high level of detail and precise operative indications.

How I Became a Quant

Insights from 25 of Wall Street's Elite

Author: Richard R. Lindsey,Barry Schachter

Publisher: John Wiley & Sons

ISBN: 9781118044759

Category: Business & Economics

Page: 386

View: 7768

Praise for How I Became a Quant "Led by two top-notch quants, Richard R. Lindsey and Barry Schachter, How I Became a Quant details the quirky world of quantitative analysis through stories told by some of today's most successful quants. For anyone who might have thought otherwise, there are engaging personalities behind all that number crunching!" --Ira Kawaller, Kawaller & Co. and the Kawaller Fund "A fun and fascinating read. This book tells the story of how academics, physicists, mathematicians, and other scientists became professional investors managing billions." --David A. Krell, President and CEO, International Securities Exchange "How I Became a Quant should be must reading for all students with a quantitative aptitude. It provides fascinating examples of the dynamic career opportunities potentially open to anyone with the skills and passion for quantitative analysis." --Roy D. Henriksson, Chief Investment Officer, Advanced Portfolio Management "Quants"--those who design and implement mathematical models for the pricing of derivatives, assessment of risk, or prediction of market movements--are the backbone of today's investment industry. As the greater volatility of current financial markets has driven investors to seek shelter from increasing uncertainty, the quant revolution has given people the opportunity to avoid unwanted financial risk by literally trading it away, or more specifically, paying someone else to take on the unwanted risk. How I Became a Quant reveals the faces behind the quant revolution, offering you?the?chance to learn firsthand what it's like to be a?quant today. In this fascinating collection of Wall Street war stories, more than two dozen quants detail their roots, roles, and contributions, explaining what they do and how they do it, as well as outlining the sometimes unexpected paths they have followed from the halls of academia to the front lines of an investment revolution.

The Manual of Quants

Discrete Physics and Quantitative Analysis

Author: John Henry Morel

Publisher: Rodaian Press

ISBN: 9781935436201

Category: Financial planning industry

Page: 74

View: 673

The Manual of Quants is a comprehensive examination of current practices in the field of quantitative analysis and the development of quantum algorithms in financial markets. No other book exists like this book, which covers basic principles of discrete mathematics and physics to assist quants and algorithm developers in developing a qualified approach to holistic mathematics models to investigate buy/sell trends and patterns in financial markets. This comprehensive look at discrete physics in the quant workplace is the first of its kind to combine theoretical physics with mathematics and algorithms to assist quantitative analysts, financial institutions and the individual investor in better understanding the scientific basis for investigation of patterns in the quantum field, both observable and potential. The author discusses in plain language for any analyst to understand, the common problems and hurdles encountered in contemporary practices of developing algorithms and introduces basic principles of contemporary physics and discrete mathematics to assist the quant developer in developing comprehensive approaches to market analysis, prediction and hydraulic assay. No other book does what this bible of quants attempts to do and in attempting to do so, a whole new language and approach is introduced into the workplace while simultaneously defuncting a broad range of preexisting paradigms that no longer serve monetary interests nor personal or corporate interests in the long run. Author John Henry Morel, presents an open and shut case that redefines mathematic investigation of the quantum field, the unknown, patterns in financial markets and presents a solid, robust approach to quantum mechanics for the astute observer and algorithm developer. Back Cover Reviews: A STUNNING ACHIEVEMENT!! GROUNDBREAKING WORK!! - Michael Grayson A GEM!! THE MODERN QUANT'S BIBLE - Felicity Ray Description from the Back Cover: The field of quantitative analysis bears some scrutiny. How can analysis be done in a vacuum of speculation limited to discrete patterns within a single field of inquiry? A quantum pattern cannot be discerned without assessing the entire field of activity. Judging one book by its cover does not warrant reading the other books. Judging one book by its cover warrants an examination of the field itself on a quantum scale of inquiry without overlooking the causal trajectories inherent and in movement in all. The Manual of Quants is written by author, John Henry Morel, to discuss the basic principles overlooked in modern quantitative analysis and the field of financial quantitative algorithms. No other book discusses physics in the context of developing qualified discrete mathematical algorithms for the world of securities and financial markets. This book redefines quantitative analysis down to its brick and mortar origins and resolves the complexities of modern number theory and the teraflop power of a sophisticated protocol for the investigation of quantum mechanics and market theory in the workplace for today's quants and market analysts. The author does a remarkable job of explaining the rigor with which one must pursue true quantitative analysis on a par with the Oracle of Delphi and the Quantum algorithm. Bestselling author, John Henry Morel, has published over 50 books in the fields of metaphysics, quantitative theory, discrete physics and mathematics. He is the creator of the Segesis, Goldspars, Quantum and Pack Nine algorithms. His books are sold internationally and have earned him recognition in the fields of mathematics and physics. He is well recognized as a leader in the field of quantitative physics and analysis.

The Rise of the Quants

Marschak, Sharpe, Black, Scholes and Merton

Author: Colin Read

Publisher: Palgrave Macmillan

ISBN: 023027417X

Category: Business & Economics

Page: 195

View: 9112

The third book in the Great Minds in Finance series examines the pricing of securities and the risk/reward trade off through the legends, contribution, and legacies of Jacob Marschak, William Sharpe, Fischer Black and Myron Scholes, and Robert Merton, influencing both theory and practice, enabling the question of how do we measure risk?

Dark Pools

The Rise of the Machine Traders and the Rigging of the U.S. Stock Market

Author: Scott Patterson

Publisher: Crown Pub

ISBN: 0307887189

Category: Business & Economics

Page: 362

View: 9300

A Wall Street Journal reporter evaluates the cost and consequences of high-speed trading, arguing that the development of automatic, super-intelligent trading machines is eliminating necessary human interests and compromising regulation measures. 50,000 first printing.

My Side of the Street

Why Wolves, Flash Boys, Quants, and Masters of the Universe Don't Represent the Real Wall Street

Author: Jason DeSena Trennert

Publisher: St. Martin's Press

ISBN: 1466877154

Category: Biography & Autobiography

Page: 240

View: 8918

On a sticky summer morning at the end of the Eighties, 19-year-old Jason DeSena Trennert—a bright, unconnected Georgetown undergrad with big dreams and an even bigger power tie—set out for Wall Street. Mustering the perceived panache of the bigwigs, he burst through the doors of America's oldest financial firms. He was roundly rejected. And entirely undeterred. Trennert accepted a position as a cold-caller and charged ahead with the blind zeal of inexperience, finding in the process a genuine affinity for the customs and history of his work. Clinging to his dream from humble beginnings in financial sector Siberia—Morgan Stanley's Brooklyn outpost—and enduring the villainization of a respectable profession across two boom-bust cycles, he opened his own boutique company, now one of the world's leading research firms. Part memoir, part love letter to an institution popularly viewed as a necessary (or as just plain) evil, My Side of the Street delivers the long-overdue defense of the investment banking industry critiqued by Michael Lewis and others, illuminating the ethical and decent majority who take the subway, worry about mortgages, and keep the entire enterprise on its feet. Introducing the general reader to captains of finance, famous on The Street but invisible to outsiders, Trennert lays on display the absurdity and unbridled joy of big business—a comic tale of unlikely success in America's most notorious industry.

FX Barrier Options

A Comprehensive Guide for Industry Quants

Author: Zareer Dadachanji

Publisher: Springer

ISBN: 1137462752

Category: Business & Economics

Page: 244

View: 9904

Barrier options are a class of highly path-dependent exotic options which present particular challenges to practitioners in all areas of the financial industry. They are traded heavily as stand-alone contracts in the Foreign Exchange (FX) options market, their trading volume being second only to that of vanilla options. The FX options industry has correspondingly shown great innovation in this class of products and in the models that are used to value and risk-manage them. FX structured products commonly include barrier features, and in order to analyse the effects that these features have on the overall structured product, it is essential first to understand how individual barrier options work and behave. FX Barrier Options takes a quantitative approach to barrier options in FX environments. Its primary perspectives are those of quantitative analysts, both in the front office and in control functions. It presents and explains concepts in a highly intuitive manner throughout, to allow quantitatively minded traders, structurers, marketers, salespeople and software engineers to acquire a more rigorous analytical understanding of these products. The book derives, demonstrates and analyses a wide range of models, modelling techniques and numerical algorithms that can be used for constructing valuation models and risk-management methods. Discussions focus on the practical realities of the market and demonstrate the behaviour of models based on real and recent market data across a range of currency pairs. It furthermore offers a clear description of the history and evolution of the different types of barrier options, and elucidates a great deal of industry nomenclature and jargon.

The Physics of Wall Street

A Brief History of Predicting the Unpredictable

Author: James Owen Weatherall

Publisher: HMH

ISBN: 0547618298

Category: Business & Economics

Page: 304

View: 6142

A look inside the world of “quants” and how science can (and can’t) predict financial markets: “Entertaining and enlightening” (The New York Times). After the economic meltdown of 2008, Warren Buffett famously warned, “beware of geeks bearing formulas.” But while many of the mathematicians and software engineers on Wall Street failed when their abstractions turned ugly in practice, a special breed of physicists has a much deeper history of revolutionizing finance. Taking us from fin-de-siècle Paris to Rat Pack–era Las Vegas, from wartime government labs to Yippie communes on the Pacific coast, James Owen Weatherall shows how physicists successfully brought their science to bear on some of the thorniest problems in economics, from options pricing to bubbles. The crisis was partly a failure of mathematical modeling. But even more, it was a failure of some very sophisticated financial institutions to think like physicists. Models—whether in science or finance—have limitations; they break down under certain conditions. And in 2008, sophisticated models fell into the hands of people who didn’t understand their purpose, and didn’t care. It was a catastrophic misuse of science. The solution, however, is not to give up on models; it’s to make them better. This book reveals the people and ideas on the cusp of a new era in finance, from a geophysicist using a model designed for earthquakes to predict a massive stock market crash to a physicist-run hedge fund earning 2,478.6% over the course of the 1990s. Weatherall shows how an obscure idea from quantum theory might soon be used to create a far more accurate Consumer Price Index. The Physics of Wall Street will change how we think about our economic future. “Fascinating history . . . Happily, the author has a gift for making complex concepts clear to lay readers.” —Booklist


Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life

Author: Emanuel Derman

Publisher: Simon and Schuster

ISBN: 1439165017

Category: Science

Page: 240

View: 8341

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.

More Money Than God

Hedge Funds and the Making of the New Elite

Author: Sebastian Mallaby

Publisher: A&C Black

ISBN: 1408809753

Category: Business & Economics

Page: 496

View: 697

The first book of its kind: a fascinating and entertaining examination of hedge funds today Shortlisted for the Financial Times/Goldman Sachs Business Book of the Year Award The New York Times bestseller

Volatility Master Class for Quants

Author: Bruno Dupire

Publisher: Wiley

ISBN: 9780470053171

Category: Business & Economics

Page: 288

View: 5632

A look into the world of volatility from the man who laid the foundations of the field Volatility presents a fascinating insight into a key area of modern finance, authored by one of its original pioneers. Building on twenty years of extensive practice and theory, the book presents models and ideas from financial engineering for those who trade themselves or create models for traders. Author Bruno Dupire's concise examination of key volatility topics offers readers the best in cutting-edge information and is designed to be fully accessible to anyone dealing with volatility, from quantitative analysts to traders, from risk managers to academics. Bridging cultural gaps, the book presents information from a practical perspective alongside the concepts needed to fully understand this fascinating topic. Covers a broad range of topics, from the history of volatility to the latest advances in volatility derivatives, with a special focus on the models used by major institutions Includes numerous original insights, ranging from volatility derivatives modeling to approximation methods Written in a concise style that focuses on concepts as opposed to calculations, filled with historical comments and anecdotes Author is listed in Risk magazine's "Hall of Fame" as one of the 50 most influential people in the history of derivatives and risk management While there are plenty of books that cover volatility, modeling, skew, and trading, Dupire's position as a trusted name and volatility innovator in the world of finance makes this book the must-have text on the subject.

Python for Finance

Analyze Big Financial Data

Author: Yves Hilpisch

Publisher: "O'Reilly Media, Inc."

ISBN: 1491945389

Category: Computers

Page: 606

View: 8051

The financial industry has adopted Python at a tremendous rate recently, with some of the largest investment banks and hedge funds using it to build core trading and risk management systems. This hands-on guide helps both developers and quantitative analysts get started with Python, and guides you through the most important aspects of using Python for quantitative finance. Using practical examples through the book, author Yves Hilpisch also shows you how to develop a full-fledged framework for Monte Carlo simulation-based derivatives and risk analytics, based on a large, realistic case study. Much of the book uses interactive IPython Notebooks, with topics that include: Fundamentals: Python data structures, NumPy array handling, time series analysis with pandas, visualization with matplotlib, high performance I/O operations with PyTables, date/time information handling, and selected best practices Financial topics: mathematical techniques with NumPy, SciPy and SymPy such as regression and optimization; stochastics for Monte Carlo simulation, Value-at-Risk, and Credit-Value-at-Risk calculations; statistics for normality tests, mean-variance portfolio optimization, principal component analysis (PCA), and Bayesian regression Special topics: performance Python for financial algorithms, such as vectorization and parallelization, integrating Python with Excel, and building financial applications based on Web technologies

Financial Armageddon

Protecting Your Future from Four Impending Catastrophes

Author: Michael J. Panzner

Publisher: Michael J. Panzner

ISBN: 141959608X

Category: Business & Economics

Page: 256

View: 1433

'Financial Armageddon' describes the four key financial elements - debt, derivatives, government guarantees, and retirement - and how they are unraveling. The text describes the impact they will have on our families, finances, investments, and economic wellbeing.

Blue Ocean Strategy, Expanded Edition

How to Create Uncontested Market Space and Make the Competition Irrelevant

Author: W. Chan Kim,Renee Mauborgne

Publisher: Harvard Business Review Press

ISBN: 1625274491

Category: Business & Economics

Page: 256

View: 3732

Argues against common competitive practices while outlining recommendations based on the creation of untapped market spaces with growth potential.