Lecture Series : Models Behaving Badly (23 Mar, 2013)

seminar-23mar2013-thm.jpgSpeaker : Emanuel Derman (Columbia University)
Date : March 23, 2013 (Saturday)
Venue : Lecture theater 4, Academic Building, The City University of Hong Kong
Lecture :  16:00-17:00
Drinks Reception: 17:00-18:00
Inquiry : hkqf_help@[NO-SPAM]se.cuhk.edu.hk

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Models are metaphors that explain the world we don’t understand in terms of worlds we do. They are merely analogies, provide partial insight. They stand on someone else's feet. Theories stand on their own feet, and rely on no analogies.

Models tell you what something is more or less like; theories try to tell you what something is.

Financial models are not theories; they are analogies, idealizations that always sweep dirt under the rug. Good models and good modelers have an obligation to make the the dirt explicit.


Biography :

Emanuel Derman is Head of Risk at Prisma Capital Partners and a  professor at Columbia University, where he directs their program in  financial engineering. His latest book is ``Models Behaving Badly: Why Confusing Illusion with Reality Can Lead to Disasters, On Wall Street  and in Life", one of Business Week’s top ten books of 2011. He is also the author of ``My Life As A Quant", also one of Business Week's top  ten of 2004, in which he introduced the quant world to a wide audience.

He was born in South Africa but has lived most of his professional  life in Manhattan, 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

Among his 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.