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E-book: How I Became a Quant: Insights from 25 of Wall Street's Elite

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  • Format: PDF+DRM
  • Pub. Date: 13-Jul-2007
  • Publisher: John Wiley & Sons Inc
  • Language: eng
  • ISBN-13: 9780470169803
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  • Format: PDF+DRM
  • Pub. Date: 13-Jul-2007
  • Publisher: John Wiley & Sons Inc
  • Language: eng
  • ISBN-13: 9780470169803
Other books in subject:

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Praise for How I Became a Quant

"Led by two top-notch quants, Richard R. Lindsey and Barry Schachter, How I Became a Quant details the quirky world of quantitative analysis through stories told by some of today's most successful quants. For anyone who might have thought otherwise, there are engaging personalities behind all that number crunching!" --Ira Kawaller, Kawaller & Co. and the Kawaller Fund

"A fun and fascinating read. This book tells the story of how academics, physicists, mathematicians, and other scientists became professional investors managing billions." --David A. Krell, President and CEO, International Securities Exchange

"How I Became a Quant should be must reading for all students with a quantitative aptitude. It provides fascinating examples of the dynamic career opportunities potentially open to anyone with the skills and passion for quantitative analysis." --Roy D. Henriksson, Chief Investment Officer, Advanced Portfolio Management

"Quants"--those who design and implement mathematical models for the pricing of derivatives, assessment of risk, or prediction of market movements--are the backbone of today's investment industry. As the greater volatility of current financial markets has driven investors to seek shelter from increasing uncertainty, the quant revolution has given people the opportunity to avoid unwanted financial risk by literally trading it away, or more specifically, paying someone else to take on the unwanted risk.

How I Became a Quant reveals the faces behind the quant revolution, offering you the chance to learn firsthand what it's like to be a quant today. In this fascinating collection of Wall Street war stories, more than two dozen quants detail their roots, roles, and contributions, explaining what they do and how they do it, as well as outlining the sometimes unexpected paths they have followed from the halls of academia to the front lines of an investment revolution.
Acknowledgments xiii
Introduction 1(8)
David Leinweber, President, Leinweber & Co
9(20)
A Series of Accidents
10(3)
Grey Silver Shadow
13(3)
Destroy before Reading
16(2)
A Little Artificial Intelligence Goes a Long Way
18(2)
How Do You Keep the Rats from Eating the Wires
20(3)
Stocks are Stories, Bonds are Mathematics
23(3)
HAL's Broker
26(3)
Ronald N. Kahn, Global Head of Advanced Equity Strategies, Barclays Global Investors
29(20)
Physics to Finance
30(4)
BARRA's First Rocket Scientist
34(8)
Active Portfolio Management
42(2)
Barclays Global Investors
44(2)
The Future
46(3)
Gregg E. Berman, Strategic Business Development, RiskMetrics Group
49(18)
A Quantitative Beginning
50(3)
Putting it to the Test
53(4)
A Martian Summer
57(1)
Physics on Trial
57(2)
A Twist of Fate
59(1)
A Point of Inflection
60(1)
A Circuitous Route to Wall Street
61(4)
The Last Mile
65(2)
Evan Schulman, Chairman, Upstream Technologies, LLC
67(16)
Measurement
68(1)
Market Cycles
69(1)
Process
69(1)
Risk
70(1)
And Return
71(1)
Trading Costs
72(1)
Informationless Trades
73(1)
Applying it All
73(2)
Electronic Trading
75(1)
Lattice Trading
75(1)
Net Exchange
76(3)
Upstream
79(2)
Articles
81(2)
Leslie Rahl, President, Capital Market Risk Advisors
83(12)
Growing Up in Manhattan
83(2)
College and Graduate School
85(3)
Nineteen Years at Citibank
88(2)
Fifteen Years (So Far!) Running Capital Market Risk Advisors
90(2)
Going Plural
92(1)
The Personal Side
92(1)
So How Did I Become a Quant?
92(3)
Thomas C. Wilson, Chief Insurance Risk Officer, ING Group
95(12)
Quantitative Finance: The Means to an End?
96(2)
The Questions
98(1)
The Early 1990s: The Market Risk Era
99(2)
The Late 1990s: The Credit Risk Era
101(1)
The Great Strategy Debate: From the 1990s to Today
102(2)
Lessons Learned
104(3)
Neil Chriss, Former Managing Director of Quantitative Strategies, SAC Capital Management, LLC
107(30)
The Glass Bead Game
108(3)
Of Explorers and Mountain Climbers
111(2)
Computers
113(4)
College Years
117(1)
The University of Chicago PhD Program
118(2)
Academia
120(4)
The Harvard Mathematics Department
124(1)
Moving to Wall Street
125(2)
Quant Research
127(1)
Quant Research and the Mathematics of Portfolio Trading
128(2)
Quantitative Portfolio Management
130(1)
Mathematical Finance Education
131(2)
Final Thoughts
133(4)
Peter Carr, Head of Quantitative Financial Research, Bloomberg
137(6)
My First Eureka Moment
138(1)
Accounting for the Future Instead of the Past
139(1)
Postdoctoral Studies
140(1)
And in the End
141(2)
Mark Anson, CEO, Hermes Pensions Management Ltd. CEO, British Telecommunications Pension Scheme
143(8)
PhD, Why Not?
144(2)
Legal Arbitrage
146(2)
Managing the Outcome
148(1)
Certain Uncertainty
149(2)
Bjorn Flesaker, Senior Quant, Bloomberg L.P.
151(12)
Growing Up
152(3)
Choosing Academics
155(5)
Heeding the Call of the Street
160(2)
Becoming a Real Quant Again
162(1)
Peter Jackel
163(14)
The English Connection
164(1)
London Calling
165(2)
Cutting One's Teeth
167(1)
All the Models in the World
168(2)
For Future Reference
170(3)
To the Front
173(4)
Andrew Davidson, President, Andrew Davidson & Co., Inc
177(10)
Conjecture 1: If It Quacks Like a Quant
177(2)
If You Don't Know Where You Are Going, any Road Will Get You There
179(2)
Pay No Attention to the Man behind the Curtain
181(1)
If It May Be True in Theory but It Won't Work in Practice, Get a Better Theory
182(3)
To Thine Own Self Be True
185(2)
Andrew B. Weisman, Managing Director, Merrill Lynch
187(10)
Econometric Voodoo
188(1)
Trading for Fun and Profit
189(1)
Tools of the Trade
190(4)
Lessons Learned
194(3)
Clifford S. Asness, Managing and Founding Principal, AQR Capital Management, LLC
197(14)
Chicago
198(1)
A Big Decision
199(3)
On Our Own
202(4)
Moonlighting
206(1)
Geeks of the World Unite
207(4)
Stephen Kealhofer, Managing Partner, Diversified Credit Investments
211(16)
A Startup
213(1)
Practical Defaults
214(3)
The Entrepreneur
217(2)
Inventing a Business
219(1)
Portfolio Management of Credit Risk
220(3)
A Room with a View
223(4)
Julian Shaw, Head Risk Management & Quantitative Research, Permal Group
227(16)
Gordon Capital
229(2)
CIBC
231(1)
Barclays Capital
232(1)
Fat Tails and Thin Peaks
233(1)
Adventures in CDO Land
234(1)
The Strange Evolution of Value at Risk
235(1)
A Paradox
236(1)
Permal
236(1)
What Makes a Good Quant?
237(1)
The Art of Leaving Things Out
238(1)
The Art of Choosing the Right Tools
238(2)
Do Quants Lack Business Sense?
240(1)
Tips
241(2)
Steve Allen, Deputy Director, Masters Program in Mathematics in Finance, Courqnt Institute of Mathematical Sciences, New York University
243(8)
In Which the Author Is Seriously Misled
243(3)
In Which a Fortuitous Opportunity Appears
246(2)
In Which Reason Prevails and All Rejoice
248(3)
Mark Kritzman, President and CEO, Windham Capital Management, LLC
251(12)
A Brief Chronology
252(2)
How I Developed My Quant Skills
254(1)
How I Applied My Quantitative Training
255(6)
The Future for Quants
261(2)
Bruce I. Jacobs and Kenneth N. Levy, Principals, Jacobs Levy Equity Management
263(22)
Portraits of Two Investors
264(1)
New Concepts, Foggy Ideas
265(3)
The Jacobs Levy Investment Approach
268(1)
Benefits of Disentangling
269(4)
Integrating the Investment Process
273(2)
Relaxing Portfolio Constraints
275(2)
Integrated Long-Short Optimization
277(1)
Books and an Ethical Debate
278(3)
Portfolio Optimization and Market Simulation with Shorting
281(4)
Tanya Styblo Beder, Chairman, SBCC
285(10)
Yale
286(3)
First Boston
289(1)
Graduate School
290(2)
Swaps
292(1)
Giving Back
293(2)
Allan Malz, Head of Risk Management, Clinton Group
295(10)
How Not to Get a PhD
296(1)
How Not to Get a PhD, Continued
297(3)
RiskMetrics' Salad Days
300(2)
No More Mr. Nice Guy
302(3)
Peter Muller, Senior Advisor, Morgan Stanley
305(12)
What's that Smell?
305(3)
Life at BARRA
308(2)
You Gotta Know When to Fold'em
310(2)
The Call that Changed Everything
312(5)
Andrew J. Sterge, President, AJ Sterge (a division of Magnetar Financial, LLC)
317(12)
On to the Real World
320(1)
Cooper Neff
321(1)
Early Days at Cooper Neff
322(2)
Active Portfolio Strategies
324(3)
How I Became a Quant
327(2)
Senior Principal of Marshall, Tucker & Associates, LLC and Vice Chairman of the International Securities Exchange, John F. (Jack) Marshall
329(10)
From Premed to Derivatives
330(1)
Frustration with Academia and the Birth of a Profession
331(3)
The IAFE and the Road to MSFE Degrees
334(5)
Notes 339(20)
Bibliography 359(4)
About the Contributors 363(16)
About the Authors 379(2)
Index 381
Richard R. Lindsey, PhD, MBA, is President and CEO of the Callcott Group, LLC, a quantitative consulting firm. For eight years, he was president of Bear, Stearns Securities Corporation. Dr. Lindsey is also Chairman of the International Association of Financial Engineers. Prior to joining Bear Stearns, Dr. Lindsey was the director of market regulation for the U.S. Securities and Exchange Commission. Before joining the SEC, he was a finance professor at Yale University in the School of Management. Dr. Lindsey has done extensive work in the areas of market micro-structure (the design and regulation of securities markets) and the pricing of derivative securities.

Barry Schachter, PhD, is Director of Quantitative Resources at Moore Capital Management. He is on the advisory board of the International Association of Financial Engineers and is cochair of its Education Committee. Schachter spent the early part of his career in academia, most of that time on the faculties at Simon Fraser University and Tulane University. He also founded and maintains GloriaMundi.org, a Web site for risk managers, and BelRanto.typepad.com, a Web log on risk and hedge funds.