Recently read: Emanuel Derman books
I recently read two books by Emanuel Derman, both of which have a lot to do with both physics and finance. That presumably has a lot to do with his history: He was a physicist in academia before winding up on Wall Street, eventually becoming head of the quantitative risk strategies group at Goldman Sachs. He subsequently returned to academia.
My Life as a Quant: Reflections on Physics and Finance, by Emanuel Derman
This is the more (personal) history-focused of the pair, while still having a pretty good dose of both physics and finance. In particular, his description of how VaR (value at risk) models are applied and misapplied enlightening. One of the things that struck me is how often (at least in the narrative) his life was unsatisfying. The decription of how he had to (for work reasons) spend a year away from his young son was heartbreaking.
Highly Recommended.
Models. Behaving. Badly. also by Emanuel Derman
This book is more focused on the nature of theories and models, though is has a sprinkling of his personal history as well. Probably the main point he tries to get across is that the constructs of physics are fundamentally different from those in finance: They both use math, but the theories of physics are very accurate. As he says, for all intents and purposes, Maxwell's laws are the electromagnetic field, not an approximation to them. Even the best models in finance, in contrast, are at best approximations, and often dangerous ones at that. He covers a wide range of topics, including excursions into philosophy and religion.
Conditionally recommended: It's in many ways similar to the other book, and My Life as a Quant is probably the better one to read first.
My Life as a Quant: Reflections on Physics and Finance, by Emanuel Derman
This is the more (personal) history-focused of the pair, while still having a pretty good dose of both physics and finance. In particular, his description of how VaR (value at risk) models are applied and misapplied enlightening. One of the things that struck me is how often (at least in the narrative) his life was unsatisfying. The decription of how he had to (for work reasons) spend a year away from his young son was heartbreaking.
Highly Recommended.
Models. Behaving. Badly. also by Emanuel Derman
This book is more focused on the nature of theories and models, though is has a sprinkling of his personal history as well. Probably the main point he tries to get across is that the constructs of physics are fundamentally different from those in finance: They both use math, but the theories of physics are very accurate. As he says, for all intents and purposes, Maxwell's laws are the electromagnetic field, not an approximation to them. Even the best models in finance, in contrast, are at best approximations, and often dangerous ones at that. He covers a wide range of topics, including excursions into philosophy and religion.
Conditionally recommended: It's in many ways similar to the other book, and My Life as a Quant is probably the better one to read first.