My guest today is Emanuel Derman, a South African-born businessman and writer, best known as a quantitative analyst. Derman, who first came to the U.S. at age 21, in 1966, is currently a professor at Columbia University and Director of its program in financial engineering. Until recently he was also the Head of Risk and a partner at KKR Prisma Capital Partners, a fund of funds.

The topics are his books My Life As A Quant: Reflections on Physics and Finance and Models Behaving Badly.

In this episode of Trend Following Radio we discuss:

• Why economics can be an ‘incestuous’ field
• Economics as a moral science
• Why all four of the US investment banks were not allowed to go by the wayside
• Derman’s background and his PhD in theoretical physics
• Derman’s early eye-opening experiences at Goldman Sachs
• Model building, and how Derman was indoctrinated into the world of model building
• The financial model and science and the physics model and science
• Short volatility models vs. long volatility models
• How one estimates risk
• Models vs. theories
• Whether Derman finds a certain amount of pushback from others in the academic community

Jump in!

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I’m MICHAEL COVEL, the host of TREND FOLLOWING RADIO, and I’m proud to have delivered 10+ million podcast listens since 2012. Investments, economics, psychology, politics, decision-making, human behavior, entrepreneurship and trend following are all passionately explored and debated on my show.

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