Building Models to Fix Mistakes of the Past

Featuring Emanuel Derman

Emanuel Derman is one of the true innovators of quantitative finance and the author of My Life as a Quant and Models Behaving Badly, meets with Michael Green to discuss a model driven world and the future of equity derivatives. In an intense discussion on the ability to price volatility it is argued that unlike in science, models can never provide the ultimate truth because they are always tackling the problems that the previous set of models created. Filmed on August 29, 2017, in New York.

Published on
18 September, 2017
Derivatives, Financial System, Volatility
46 minutes
Asset class
Bonds/Rates/Credit, Equities


  • VM

    Vincent M.

    24 10 2017 03:40

    1       0

    Missed this when it came out. Worth a 45 minute listem. Love the exchanges and challenges of ideas.

    More like this !

  • JK

    Jeff K.

    27 9 2017 02:56

    1       1


  • SC

    Sam C.

    27 9 2017 01:49

    0       0

    Spelling error "Derivates ..." in sectional title?

  • JH

    John H.

    20 9 2017 17:00

    3       0

    Nice observation by Green re optionality in value equities. So true in practice.

  • SS

    Stephen S.

    20 9 2017 16:57

    6       0

    Could listen to this for hours. Green would be such a great podcast host.

  • GP

    Gordon P.

    20 9 2017 00:13

    9       1

    Funny, I didnt understand half of what they were talking about but I enjoyed listening to them -- God ,I must be losing it --

  • RA

    Robert A.

    19 9 2017 23:31

    5       0

    I'm getting to me a real Michael Green fan. We are so lucky to have access to him through RV TV along with Grant and Raoul. Um...stability ultimately leads to instability---wasn't that the thesis of...
    Oh some Economist a few decades ago (smile). How many more sell Vol carry traders are left?....and what happens when we run out of them?...just leverage the trade infinitely?

  • MC

    M C.

    19 9 2017 13:21

    7       1

    More like this. Excellent, both by Mike and Mr. Derman. My only criticism: i think Mike has to focus a little more on teasing out insights from the interviewee - a little too much from him.

    • DC

      D C.

      19 9 2017 20:19

      17       0

      It's a bit of a trade-off. You need someone highly intelligent (HI) to interview someone highly intelligent to tease ANY insights. But that (HI) interviewer will have original / tangential thoughts of his own.

      Versus... imagine if Joe Weisenthal from Bloomberg try to do an interview like this. It would be much more limited in the scope, cause he can't even delve into any of the issues properly like Mike can.

  • MG

    Michael G.

    19 9 2017 08:59

    3       1

    No, theories started with a discussion with Mark Rubinstein (as in Cox-Rubinstein) in 2006, implemented in 2009. Sam Wilderman at GMO independently proposed in 2011 ( which is where Kaleidoscope lifted without attribution

    • FP

      Filip P.

      19 9 2017 09:50

      0       0


  • FP

    Filip P.

    19 9 2017 07:53

    1       2

    Giving credit where credit is due with respect to the Value investing and Put selling analogy:

  • TH

    Timothy H.

    19 9 2017 03:52

    1       0


  • TS

    T S.

    19 9 2017 03:31

    1       0

    Was anyone able to find the paper on IV he references in this interview?

  • JK

    Jozsef K.

    19 9 2017 02:17

    2       2

    Mike is great, indeed. But I wanted to listen to Derman just a tad more extensively.

  • JH

    Jesse H.

    19 9 2017 00:11

    8       1

    Wow - the number of times Derman said to Mike Green, "that's very insightful" or "clever way of looking at it." We are privileged to listen to a man as intelligent as MG. And the biggest take-away for me is that now I know why MG is so damn smart -- he wanted to be a Physicist! ; ) And on a more serious note, so true that backward looking models will by definition never give us a solid view of the future...but my contention is that this is where human judgment is so vitally important.

  • AP

    A P.

    18 9 2017 22:31

    3       0

    Many thanks for this discussion, MG. RVTV at its best. More!

  • Sv

    Sid v.

    18 9 2017 22:08

    0       1

    Complexifying! is that a new word? Great piece, thank you

  • HJ

    Harry J.

    18 9 2017 16:37

    10       0

    Mike you never dissapoint.

  • HJ

    Harry J.

    18 9 2017 16:11

    2       0

    Very good!
    Wish i could follow the thought process.
    Don't see how I can make money
    Or see how i can preserve it.

  • RD

    Ryan D.

    18 9 2017 15:46

    16       0

    Does Mike Green need someone to take out his trash and do misc office work? I would love to be a fly on the wall during his day to day. Dude is next level.

  • RM

    Richard M.

    18 9 2017 15:00

    32       0

    Wow, just fantastic! As others have said it would be just great to get a 3-way conversation going with Mike, Emanuel and Nassim Taleb and let them talk for a couple of hours. What a dream segment (can it happen???).

  • IO

    Igor O.

    18 9 2017 13:55

    6       1

    Ending just brilliant. Everything is perfect nobodys happy.

    • TD

      Tom D.

      18 9 2017 18:57

      6       1

      “Everything is perfect, but nobody is happy.” I can’t believe anyone takes this line seriously. George Orwell’s 1984 dystopian government has become a reality in the USA. Off hand, here are some reasons why we are not perfect and not happy about the current reality: a super-state with universal surveillance, spying on its own citizens, double speaking politicians, a media that promotes fake news, perpetual war, thought police (political correctness and hate speech), truth is labeled a lie, militarization of the local police, use of centralized power to crush individual freedom, promotion of class warfare, legacy institutions have been rendered useless by stealth infiltrators who promote the globalist agenda, a privileged elite, personality cultism, government that exists for its own sake at the expense of the people, revisionist history, universities that brainwash students instead of teaching them how to think, promoting a victimhood and dependency mentality, persecution and harassment of independent thinkers, warrantless searches, misuse of executive powers to financially intimidate individuals and institutions for political purposes, state confiscation of private property without due process, selective crime enforcement, the surreptitious monetary enslavement of citizens without their knowledge, understanding, or approval, and on and on. But, why worry, be happy!

  • JB

    Jason B.

    18 9 2017 12:17

    14       0

    Awesome interview as always with Mike. Would love to see him in front of the camera sometime coming up to hear more of his thoughts!

  • GS

    Gordon S.

    18 9 2017 11:52

    9       0

    Fascinating and excellent interview! Loved the broader and more philosophical perspective. I wouldn't mind a longer conversation next time!

    • GS

      Gordon S.

      18 9 2017 11:52

      29       1

      And please try to get Nassim Taleb next!

  • AE

    Aleksey E.

    18 9 2017 11:22

    9       0

    Thank you Mike !! Would love to see some more interviews with quants as this is obviously where the industry is heading.