Models Behaving Badly

Download or read book Models.Behaving.Badly. written by Emanuel Derman and published by Simon and Schuster. This book was released on 2011-10-25 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book My Life as a Quant written by Emanuel Derman and published by John Wiley & Sons. This book was released on 2016-01-11 with total page 311 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book The Volatility Smile written by Emanuel Derman and published by John Wiley & Sons. This book was released on 2016-09-06 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Volatility Smile The Black-Scholes-Merton option model was the greatest innovation of 20th century finance, and remains the most widely applied theory in all of finance. Despite this success, the model is fundamentally at odds with the observed behavior of option markets: a graph of implied volatilities against strike will typically display a curve or skew, which practitioners refer to as the smile, and which the model cannot explain. Option valuation is not a solved problem, and the past forty years have witnessed an abundance of new models that try to reconcile theory with markets. The Volatility Smile presents a unified treatment of the Black-Scholes-Merton model and the more advanced models that have replaced it. It is also a book about the principles of financial valuation and how to apply them. Celebrated author and quant Emanuel Derman and Michael B. Miller explain not just the mathematics but the ideas behind the models. By examining the foundations, the implementation, and the pros and cons of various models, and by carefully exploring their derivations and their assumptions, readers will learn not only how to handle the volatility smile but how to evaluate and build their own financial models. Topics covered include: The principles of valuation Static and dynamic replication The Black-Scholes-Merton model Hedging strategies Transaction costs The behavior of the volatility smile Implied distributions Local volatility models Stochastic volatility models Jump-diffusion models The first half of the book, Chapters 1 through 13, can serve as a standalone textbook for a course on option valuation and the Black-Scholes-Merton model, presenting the principles of financial modeling, several derivations of the model, and a detailed discussion of how it is used in practice. The second half focuses on the behavior of the volatility smile, and, in conjunction with the first half, can be used for as the basis for a more advanced course.

Download or read book Professors Behaving Badly written by John M. Braxton and published by JHU Press. This book was released on 2011-12-01 with total page 239 pages. Available in PDF, EPUB and Kindle. Book excerpt: • A faculty member publishes an article without offering coauthorship to a graduate assistant who has made a substantial conceptual or methodological contribution to the article. • A professor does not permit graduate students to express viewpoints different from her own. • A graduate student close to finishing his dissertation cannot reach his traveling advisor, a circumstance that jeopardizes his degree. This book discusses these and other examples of faculty misconduct—and how to avoid them. Using data collected through faculty surveys, the authors describe behaviors associated with graduate teaching which are considered inappropriate and in violation of good teaching practices. They derive a normative structure that consists of five inviolable and eight admonitory proscriptive criteria to help graduate faculty make informed and acceptable professional choices. The authors discuss the various ways in which faculty members acquire the norms of teaching and mentoring, including the graduate school socialization process, role models, disciplinary codes of ethics, and scholarship about the professoriate and professional performance. Analyzing the rich data gleaned from the faculty surveys, they track how these norms are understood and interpreted across academic disciplines and are influenced by such factors as gender, citizenship, age, academic rank, tenure, research activity, and administrative experience.

Download or read book Parents Behaving Badly written by Scott Gummer and published by Simon and Schuster. This book was released on 2012-04-10 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: Gummer's first novel provides a smart, funny, and long overdue look at the over-the-top behavior of parents involved in youth sports.

Download or read book Understanding and Managing Model Risk written by Massimo Morini and published by John Wiley & Sons. This book was released on 2011-10-20 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Log 50 written by Cynthia Davidson and published by . This book was released on 2020-10-20 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: From the economic to the political, from public health to the climate, models seem to run the world. In architecture, the model is no longer just a physical tool for conceptualizing or representing architects' visions but must also encompass digital and 3D-printed models, data and artificial intelligence models, business models, educational models, and even engage the discipline's own questionable history in establishing role models. A thematic issue, Log 50: Model Behavior interrogates models in this expanded sense: what are their values, their behaviors, and the behaviors they elicit. In a record-setting 256 pages, 39 authors, ranging from established architectural thinkers to up-and-coming practitioners, examine the role of the model in architecture today through critical essays, conversations, observations, projects, and provocations.