Last week I was in a bookstore and ran across a new book by Emanuel Derman called My Life as a Quant: Reflections on Physics and Finance. Derman got a particle theory Ph. D. here at Columbia in 1973 when he was one of Norman Christ’s first students. He then went on to post-docs at Penn, Oxford and Rockefeller and a tenure track job at Boulder. By 1980 he had decided he didn’t want to stay in Boulder, partly because his wife couldn’t get a job there, so he left academia for a job at Bell Labs.
In 1985 he went to work in the financial industry at Goldman Sachs, staying there until 2002, interrupted by a one-year stint at Salomon. He’s now back at Columbia, teaching in the Financial Engineering program run by the IEOR (Industrial Engineering and Operations Research) department of the Engineering school. This kind of master’s program is extremely popular; besides IEOR, the math and stat departments collaborate on a separate MA program in the Mathematics of Finance which has been wildly successful. Each year we get more and better applicants, and they seem to do very well on the job market when they get out.
The first half of Derman’s book gives a good view of what it was like to be a theorist of the phenomenological variety during the seventies and early eighties. The second half has a nice description of the mathematical problems involved in pricing options and mortgage-backed securities, as well as many comments on what it is like to work in the financial industry. He was one of the earliest particle theorists to do this, but many others have followed him there in recent years, some of whom are regular commenters here.