Ep. 298: Emanuel Derman Interview with Michael Covel on Trend Following Radio

Michael Covel's Trend Following

Michael Covel

Business, Investing

4.6 • 732 Ratings

🗓️ 5 December 2014

⏱️ 43 minutes

🔗️ Recording | iTunes | RSS

🧾️ Download transcript

Summary

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.

To start? I'd like to give you a great piece of advice you can use in your life and trading journey… cut your losses! You will find much more about that philosophy here: https://www.trendfollowing.com/trend/

You can watch a free video here: https://www.trendfollowing.com/video/

Can't get enough of this episode? You can choose from my thousand plus episodes here: https://www.trendfollowing.com/podcast

My social media platforms:
Twitter: @covel
Facebook: @trendfollowing
LinkedIn: @covel
Instagram: @mikecovel

Hope you enjoy my never-ending podcast conversation!

Transcript

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0:00.0	This is Trend Following Radio, where great thinking comes alive.
0:10.9	Nobel Prize winners, legendary traders, bestselling authors, and the pros that know what drive us irrational human beings.
0:21.1	I am your host, Michael Covel, not filtered, raw, honest.
0:27.4	That's my passion.
0:33.1	My guest today is Emmanuel Derman.
0:35.6	He is a South African-born academic businessman and writer, best known as a quantitative analyst.
0:42.6	His books include My Life is a Quant.
0:45.5	Reflections on physics and finance also models behaving badly.
0:50.0	Former Goldman Sachs, Columbia professor, he has a wide range of experiences.
0:56.7	A fun conversation, an interesting guy.
0:59.8	I hope you enjoy.
1:07.6	Emmanuel, how are you?
1:09.3	I'm good.
1:10.0	Thanks.
1:10.3	How are you, Michael? I'm not, thanks. How are you, Michael?
1:11.6	I'm not too bad. Hey, you know, I'm not sure if he's an acquaintance of yours or not,
1:15.5	but a professor at Columbia was on my show recently.
1:17.9	Alex Gracerman?
1:20.0	You know, I've never met him. I know who he is.
1:22.6	Okay. It's a small world and a big world all the same time, right?
1:26.9	He teaches him. We have two sort of finance, math finance, financial engineering programs.
1:32.3	I think he teaches in the other one.
	...

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