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.
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About the Author
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.
Table of ContentsAcknowledgments.
Chapter 1. David Leinweber: President, Leinweber&Co.
A Series of Accidents.
Grey Silver Shadow.
Destroy before Reading.
A Little Artificial Intelligence Goes a Long Way.
How Do You Keep the Rats from Eating the Wires.
Stocks Are Stories, Bonds Are Mathematics.
Chapter 2. Ronald N. Kahn: Global Head of Advanced Equity Strategies, Barclays Global Investors.
Physics to Finance.
BARRA’s First Rocket Scientist.
Active Portfolio Management.
Barclays Global Investors.
Chapter 3. Gregg E. Berman: Strategic Business Development, RiskMetrics Group.
A Quantitative Beginning.
Putting It to the Test.
A Martian Summer.
Physics on Trial.
A Twist of Fate.
A Point of Inflection.
A Circuitous Route to Wall Street.
The Last Mile.
Chapter 4. Evan Schulman: Chairman, Upstream Technologies, LLC.
Applying it All.
Chapter 5. Leslie Rahl: President, Capital Market Risk Advisors.
Growing Up in Manhattan.
College and Graduate School.
Nineteen Years at Citibank.
Fifteen Years (So Far!) Running Capital Market.
The Personal Side.
So How Did I Become a Quant?
Chapter 6. Thomas C. Wilson: Chief Insurance Risk Officer, ING Group.
Quantitative Finance: The Means to and End?
The Early 1990s: The Market Risk Era.
The Late 1990s: The Credit Risk Era.
The Great Strategy Debate: From the 1990s to Today.
Chapter 7. Neil Chriss: Former Managing Director of Quantitative Strategies, SAC Capital Management, LLC.
The Glass Bead Game.
Of Explorers and Mountain Climbers.
The University of Chicago PhD Program.
The Harvard Mathematics Department.
Moving to Wall Street.
Quant Research and the Mathematics of Portfolio Trading.
Quantitative Portfolio Management.
Mathematical Finance Education.
Chapter 8. Peter Carr: Head of Quantitative Financial Research, Bloomberg.
My First Eureka Moment.
Accounting for the Future Instead of the Past.
And in the End…
Chapter 9. Mark Anson: CEO, Hermes Pensions Management Ltd. CEO, British Telecommunications Pension Scheme.
PhD, Why Not?
Managing the Outcome.
Chapter 10. Bjorn Flesaker: Senior Quant, Bloomberg L.P.
Heeding the Call of the Street.
Becoming a Real Quant Again.
Chapter 11. Peter Jäckel.
The English Connection.
Cutting One’s Teeth.
All the Models in the World.
For Future Reference.
To the Front.
Chapter 12. Andrew Davidson: President, Andrew Davidson&Co., Inc.
Conjecture 1: If It Quacks Like a Quant…
Lemma 1: If You Don’t Know Where You Are Going, Any Road Will Get You There.
Lemma 2: Pay No Attention to the Man behind the Curtain.
Theorem 1: If It May Be True in Theory but It Won’t Work in Practice, Get a Better Theory.
Theorem 2: To Thine Own Self Be True.
Chapter 13. Andrew B. Weisman: Managing Director, Merrill Lynch.
Trading for Fun and Profit.
Tools of the Trade.
Chapter 14. Clifford S. Asness: Managing and Founding Principal, AQR Capital Management, LLC.
A Big Decision.
On Our Own.
Geeks of the World Unite.
Chapter 15. Stephen Kealhofer: Managing Partner, Diversified Credit Investments.
Inventing a Business.
Portfolio Management of Credit Risk.
A Room with a View.
Chapter 16. Julian Shaw: Head Risk Management&Quantitative Research, Permal Group.
Fat Tails and Thin Peaks.
Adventures in CDO Land.
The Strange Evolution of Value at Risk.
What Makes a Good Quant?
The Art of Leaving Things Out.
The Art of Choosing the Right Tools.
Do Quants Lack Business Sense?
Chapter 17. Steve Allen: Deputy Director. Masters Program in Mathematics in Finance, Courant Institute of Mathematical Sciences, New York University.
In Which the Author Is Seriously Misled.
In Which a Fortuitous Opportunity Appears.
In Which Reason Prevails and all Rejoice.
Chapter 18. Mark Kritzman: President and CEO, Windham Capital Management, LLC.
A Brief Chronology.
How I Developed My Quant Skills.
How I Applied My Quantitative Training.
The Future for Quants.
Chapter 19. Bruce I. Jacobs and Kenneth N. Levy: Principals, Jacobs Levy Equity Management.
Portraits of Two Investors.
New Concepts, Foggy Ideas.
The Jacobs Levy Investment Approach.
Benefits of Disentangling.
Integrating the Investment Process.
Relaxing Portfolio Constraints.
Integrated Long-Short Optimization.
Books and an Ethical Debate.
Portfolio Optimization and Market Simulation with Shorting.
Chapter 20. Tanya Styblo Beder: Chairman, SBCC.
Chapter 21. Allan Malz: Head of Risk Management, Clinton Group.
How Not to Get a PhD.
How Not to Get a PhD, Continued.
RiskMetrics’ Salad Days.
No More Mr. Nice Guy.
Chapter 22. Peter Muller: Senior Advisor, Morgan Stanley.
What’s that Smell?
Life at BARRA.
You Gotta Know When to Fold ’ em.
The Call that Change Everything.
Chapter 23. Andrew J. Sterge: President, AJ Sterge (a division of Magnetar Financial, LLC).
On to the Real World.
Early Days at Cooper Neff.
Active Portfolio Strategies.
How I Became a Quant.
Chapter 24. John F. (JacK) Marshall: Senior Principal of Marshall, Tucker&Associates, LLC and Vice Chairman of the International Securities Exchange.
From Premed to Derivatives.
Frustration with Academia and the Birth of a Profession.
The IAFE and the Road to MSFE Degrees.
About the Contributors.
About the Authors.