Building Models to Fix Mistakes of the Past

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

Building Models to Fix Mistakes of the Past

The Interview ·
Featuring Emanuel Derman

Published on: September 18th, 2017 • Duration: 46 minutes • Asset Class: Bonds/Rates/Credit, Equities • Topic: Derivatives, Financial System, Volatility

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.

Comments

  • AE
    Aleksey E.
    18 September 2017 @ 11:22
    Thank you Mike !! Would love to see some more interviews with quants as this is obviously where the industry is heading.
  • GS
    Gordon S.
    18 September 2017 @ 11:52
    Fascinating and excellent interview! Loved the broader and more philosophical perspective. I wouldn't mind a longer conversation next time!
    • GS
      Gordon S.
      18 September 2017 @ 11:52
      And please try to get Nassim Taleb next!
  • JB
    Jason B.
    18 September 2017 @ 12:17
    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!
  • IO
    Igor O.
    18 September 2017 @ 13:55
    Ending just brilliant. Everything is perfect nobodys happy.
    • TD
      Tom D.
      18 September 2017 @ 18:57
      “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!
  • RM
    Richard M.
    18 September 2017 @ 15:00
    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???).
  • RD
    Ryan D.
    18 September 2017 @ 15:46
    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.
  • HJ
    Harry J.
    18 September 2017 @ 16:11
    Very good! Wish i could follow the thought process. Don't see how I can make money Or see how i can preserve it.
  • HJ
    Harry J.
    18 September 2017 @ 16:37
    Mike you never dissapoint.
  • Sv
    Sid v.
    18 September 2017 @ 22:08
    Complexifying! is that a new word? Great piece, thank you
  • AP
    A P.
    18 September 2017 @ 22:31
    Many thanks for this discussion, MG. RVTV at its best. More!
  • JH
    Jesse H.
    19 September 2017 @ 00:11
    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.
  • JK
    Jozsef K.
    19 September 2017 @ 02:17
    Mike is great, indeed. But I wanted to listen to Derman just a tad more extensively.
  • TS
    T S.
    19 September 2017 @ 03:31
    Was anyone able to find the paper on IV he references in this interview?
  • TH
    Timothy H.
    19 September 2017 @ 03:51
    Kl
  • TH
    Timothy H.
    19 September 2017 @ 03:51
    Mo
  • TH
    Timothy H.
    19 September 2017 @ 03:51
    Mkk
  • TH
    Timothy H.
    19 September 2017 @ 03:51
    Oklmo
  • TH
    Timothy H.
    19 September 2017 @ 03:51
    Ko
  • TH
    Timothy H.
    19 September 2017 @ 03:51
    Lm
  • TH
    Timothy H.
    19 September 2017 @ 03:51
    M
  • TH
    Timothy H.
    19 September 2017 @ 03:52
    O K
  • TH
    Timothy H.
    19 September 2017 @ 03:52
    Kmomioooooko Amy Gerasimoumomi
  • TH
    Timothy H.
    19 September 2017 @ 03:52
    Ok
  • TH
    Timothy H.
    19 September 2017 @ 03:52
    Lomkok
  • TH
    Timothy H.
    19 September 2017 @ 03:52
    Momkkkkkkm
  • TH
    Timothy H.
    19 September 2017 @ 03:52
    Kookkolomomkkkmookm
  • TH
    Timothy H.
    19 September 2017 @ 03:53
    Lommokooo
  • TH
    Timothy H.
    19 September 2017 @ 03:53
    Molomo Lmo
  • TH
    Timothy H.
    19 September 2017 @ 03:53
    Mkk
  • TH
    Timothy H.
    19 September 2017 @ 03:53
    Kmok O
  • TH
    Timothy H.
    19 September 2017 @ 03:53
    K
  • TH
    Timothy H.
    19 September 2017 @ 03:54
    Momkiomimomom Mo Kmooo Omok
  • TH
    Timothy H.
    19 September 2017 @ 03:54
    MomkikmimokmkooAmy Gerasimoukoko
  • TH
    Timothy H.
    19 September 2017 @ 03:54
    Omkkokokoom
  • TH
    Timothy H.
    19 September 2017 @ 03:54
    Kkkmmkoo
  • TH
    Timothy H.
    19 September 2017 @ 03:54
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  • TH
    Timothy H.
    19 September 2017 @ 03:55
    Koookokmoo Omo Mookkikkkm
  • TH
    Timothy H.
    19 September 2017 @ 03:55
    Oomkmo
  • TH
    Timothy H.
    19 September 2017 @ 03:55
    Mmkmo Okooo
  • TH
    Timothy H.
    19 September 2017 @ 03:55
    Mkm
  • TH
    Timothy H.
    19 September 2017 @ 03:55
    Kmo
  • TH
    Timothy H.
    19 September 2017 @ 03:56
    Ooklkm
  • TH
    Timothy H.
    19 September 2017 @ 03:56
    Mok Ooooo
  • TH
    Timothy H.
    19 September 2017 @ 03:56
    Koooo Oook
  • TH
    Timothy H.
    19 September 2017 @ 03:56
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  • TH
    Timothy H.
    19 September 2017 @ 03:56
    Mm o
  • TH
    Timothy H.
    19 September 2017 @ 03:56
    Moo O
  • TH
    Timothy H.
    19 September 2017 @ 03:56
    Mommi Mlmomkmmommoko
  • TH
    Timothy H.
    19 September 2017 @ 03:57
    Kooooo
  • TH
    Timothy H.
    19 September 2017 @ 03:57
    OooooAmy Gerasimouokkook
  • TH
    Timothy H.
    19 September 2017 @ 03:57
    Kmok Om
  • TH
    Timothy H.
    19 September 2017 @ 03:57
    Kkooko
  • TH
    Timothy H.
    19 September 2017 @ 03:57
    Mlkookkkmmmk Mo
  • TH
    Timothy H.
    19 September 2017 @ 03:57
    Mllmkmmkk
  • TH
    Timothy H.
    19 September 2017 @ 03:57
    Mkkkoooomo
  • TH
    Timothy H.
    19 September 2017 @ 03:58
    Omio Ookoo Koo Oo O M Omikk Omoo O
  • TH
    Timothy H.
    19 September 2017 @ 03:58
    Moo Omiookooooko
  • TH
    Timothy H.
    19 September 2017 @ 03:58
    M Momm
  • FP
    Filip P.
    19 September 2017 @ 07:53
    Giving credit where credit is due with respect to the Value investing and Put selling analogy: http://assets.kldscap.com/2015Q1_FedValueInvestor.pdf
  • MG
    Michael G. | Contributor
    19 September 2017 @ 08:59
    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 (https://es.scribd.com/mobile/document/73200528/ReThinking-Risk-What-the-Beta-Puzzle-Tells-Us-About-Investing-GMO) which is where Kaleidoscope lifted without attribution
    • FP
      Filip P.
      19 September 2017 @ 09:50
      Thanks!
  • MC
    M C.
    19 September 2017 @ 13:21
    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 September 2017 @ 20:19
      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.
  • RA
    Robert A.
    19 September 2017 @ 23:31
    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?
  • GP
    Gordon P.
    20 September 2017 @ 00:13
    Funny, I didnt understand half of what they were talking about but I enjoyed listening to them -- God ,I must be losing it --
  • SS
    Stephen S.
    20 September 2017 @ 16:57
    Could listen to this for hours. Green would be such a great podcast host.
  • JH
    John H.
    20 September 2017 @ 17:00
    Nice observation by Green re optionality in value equities. So true in practice.
  • SC
    Sam C.
    27 September 2017 @ 01:49
    Spelling error "Derivates ..." in sectional title?
  • JK
    Jeff K.
    27 September 2017 @ 02:56
    Bravo!
  • VM
    Vincent M.
    24 October 2017 @ 03:40
    Missed this when it came out. Worth a 45 minute listem. Love the exchanges and challenges of ideas. More like this !

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