Does the Practice of Quantitative Finance Need to Be Changed?

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Very, very interesting video

Academics and industry experts discuss how financial innovation and quantitative models contributed to the financial crisis. Featured here are

Paul Glasserman of Columbia Business School,
Emanuel Derman of Columbia University,
Daniel Beunza of the London School of Economics,
Kent Daniel of Goldman Sachs
Adam Parker of Sanford C. Bernstein & Co.

 
This little bit is a gem from Derman:
"I've interviewed a lot of people in my time at Goldman Sachs who when you ask them why you can price options they tell you 'Because of Girsanov's theorem,' which I think is a really bad answer."
 
Although I'm 8.3% as illustrious as Dr.Derman, I believe I have interviewed more quants than he has, and would refine his position slightly...

This is a discipline that requires people to be good at algebra, and some people I meet are awesomely better at algebra than me.

It also draws upon the work of very smart people from multiple disciplines, so much so that their insights are sometimes once-in-a-smart-lifetime events.

Also, there is simply a lot of stuff to learn.

This has led to the induction of many people who have ingested things that they don't really understand as any sort of coherent theme. Yes, they understand put-call parity, and can solve SDEs of exquisite complexity, but unlike (say) optics, the subject simply does not hang together.

That's no one's fault, at least it is not the fault of an identifiable person or organisation, but a challenge faced by an applied discipline that we have fumbled.
 
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