Friday, May 1, 2020

Emanuel Derman On Tokyo and Jetlag And Other Stuff

Here's our boilerplate introduction to what I've come to think of as Dermanettes:

...Today we visit Emanual Derman whom I once described, back when he was blogging at Reuters, thusly:
Mr. Derman is a blogger based in New York City.
He also teaches at Columbia.
Before that he was head of the quantitative strategies group in the equities division, and then head of quantitative risk strategies at Goldman Sachs
And before that he was a theoretical physicist.

I hate him....
Here is his personal homepage.

...Psst...I don't really hate him.
But do visit his homepage to see why one could.
From Why is this Interesting, April 30:

Why is this interesting? - The Japan Edition
On jetlag, the Hotel Okura, and liminal states
Emanuel Derman (ED) grew up in Cape Town, South Africa, and came to Columbia University in New York to study for a PhD in physics. Since then he’s lived mostly in Manhattan. He started his professional life as a theoretical physicist, doing research on unified theories of elementary particles. From 1985 to 2002 he worked on Wall Street where he developed models for valuing options and volatility. Since then he has been a professor at Columbia University and head of their program in financial engineering. In 2004, he wrote the memoir My Life As A Quant. This piece came up in a Twitter thread about hotels people would be happy to sequester themselves in and we thought it was a beautiful reflection not only on a hotel, but a city and a time. -Colin (CJN) 

Emanuel here. I first visited Tokyo in 1990, when I worked at Goldman, Sachs & Co. as head of the Quantitative Strategies group. Our job was to write software and models for the equity derivatives traders at Goldman, and we had just created a risk management system for managing the “Nikkei book,” the portfolio of derivative contracts we owned that had in common their dependence on the value of the Nikkei index. Our equity derivatives traders were a global team, with members in London, Tokyo, and New York, and the management of the book was passed around the world from team to team like a 400-meter relay runners’ baton as one market closed and the next one opened. I traveled to Tokyo to introduce the new system to our traders there.

This was my first experience with the ritual of traveling to Tokyo. First, the long wearying airplane flight with the sun at your side all the way. On this first trip to Asia for Goldman, the senior administrative colleague I traveled with had booked us in First Class, a luxury I was willing to let someone inflict on me but wouldn’t have felt right indulging in myself. Goldman had a policy that linked the class in which you could travel to the length of the flight, and I suspect that First Class was legitimate to Tokyo, though I still felt a little bad about it. My traveling colleague closed his eyes after we boarded the 2 p.m. flight and didn’t open them again or even twitch once until 14 hours had passed and we were approaching Tokyo, a feat that still amazes me. Shortly afterward the equity derivatives group I was part of decided that Business Class was the appropriate way to travel.
Goldman had a policy about cab fares too, which meant that the expensive cab ride from Narita airport to downtown Tokyo was forbidden. So there followed the long long bus ride from Narita to the Hotel Okura, the buses (like Tokyo itself) so modern and automated compared to New York City, with prerecorded charming female voices providing automated instructions about boarding at every stop....

HT: FT Alphaville's Further Reading Post, April 30.

Previous Dermanettes:
Emanuel Derman: "Trading Volatility"
Emanuel Derman Reviews "The Age of Cryptocurrency"
Emanuel Derman, Tyler Cowen et al On "Why is Thomas Piketty's 700-page book a bestseller?"
"Derman, Rodrik and the nature of statistical models"
Emanuel Derman: "Money Changes Everything?" or Spinoza on Pain, Pleasure and Desire
Book Review: "Models.Behaving.Badly: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life "
"Emanuel Derman on Twitter, on volatility products"
The Financial Modelers' Manifesto