My Life as a Quant (45 page)

Inelastic electron-proton scattering

Infinity

Information

Ingersoll, Jr., Jonathan

Initial Public Offerings (IPOs)

Inside the Yield Curve
(Homer/Liebowitz)

Institute for Advanced Study

Institute for Defense Analysis, Jason Division

Insurance companies

Interest rates.
See
Short-term interest rates

Interest Rates as Options
(Black)

Interest rate-sensitive security

Interest-rate derivatives

Interest-rate options, sale

Interest-rate risk, management

International Association of Financial Engineers (IAFE)

Interpolation, view of option models

Inverse-scattering problem

Investment banks

IPOs.
See
Initial Public Offerings

J

Jack Kerouac School of Disembodied Poetics

Japanese interest rates, hedging

Jarrow, Robert

Jason Division.
See
Institute for Defense Analysis

Java (language)

Ji, Guru Maharaj

Jobs, Steve

Johnson, George

Jonas, Stan

Journal of Finance

Joy, Bill

J.P. Morgan, invention.
See
Value at Risk

J.P. Morgan Chase

Jump

Jump-diffusion model

Juno (e-mail service)

K

Kaç, Mark

Kafka, Franz

Kaluza, Theodor

Kaluza-Klein theories

Kamal, Mike

Kandinsky, Vassily

Kani, Iraj

Karasinski, Piotr

Karma

Kegeles, Larry

Kender, John

Kepler, Johannes

Kernighan, Brian

Kerouac, Jack.
See
Jack Kerouac School of Disembodied Poets

Kingdom of Denmark

Klaffky, Tom

Klebb, Rosa

Kleene, Stephen

Klein, Oskar

Klein-Gordon equation

Klein-Nishina formula.
See
Compton scattering: Photon-electron scattering

Knowledge of the Higher Worlds
(Steiner)

Knuth, Donald

Koenigsberg, Mark

Kopprasch, Bob

Korn, David

Kovalevskaya, Sonya

Krasker, Bill

Kripke, Saul

Kusch, Polykarp

L

Lamb, Willis

Lattice, of interest rates

Lattice computation diagrams

Law of one price.
See
One price

Lederman, Leon

Lee, Tsung-Dao

Lee model

Lehman Brothers, merger

Leibniz, Gottfried Wilhelm

Leibowitz, Marty

Lepton, decay.
See
Heavy lepton

Levy, Gus

Lex (computer tool)

Libchard (chaos investigator)

Light

Linear algebraic equations

Lisp (language)

Lisp (Symbolics computer)

Litterman, Bob

Litzenberger, Bob

Local gauge invariance, symmetry principle (Yang)

Local volatility

Logdberg, Linda

Long Term Capital Management (LTCM)

Long-dated bonds, long-expiration options on

Long-term barrier options, hedging gold production with

Long-term yields, viewed as average of short-term rates

Lorentz, Hendrik Antoon

Lotus, usage

Louw, Jannie

Lowenstein, Roger

LTCM.
See
Long Term Capital Management

M

MacLeod, J.J.R.

Makeveyev, Dusan

Malle, Louis

Managing Traders
(Black)

Mandarins

Manhattan Project

Mann, Al

Man's Search for Meaning
(Frankl)

Many-worlds values

Margrabe, Bill

Marino, Jory

Market crashes

Market data

Markiewicz, Ed

Marking to market

Markman, Steve

Markowitz, Harry M.

Marriage of Heaven and Hell, The
(Blake)

Marsh, Terrry

Massachusetts Institute of Technology (MIT)

Mathematical analysis

Mathematical beauty

Mathematical formalism

Mathematical Theory of Communication, A
(Shannon)

Mathematica™, usage

Matlab™, usage

Mattu, Ravi

Maxwell, James Clerk

Mayer, Joseph

McAdams, Harley

McCarty Maclyn

McNamara, Robert S.

Mechanics

Meditation

Members of Technical Staff.
See
Bell Laboratories

Mendeleyev, Dmitri Ivanovich

Meriwether, John

Merrill Lynch

Merton, Robert

Microsoft, share (value)

Microwave radiation

Middleman, between traders and quants

Millikan, R.A.

Mills, gauge theories.
See
Weak/electromagnetic interactions

Milne, A.A.

Mocatta Metals

Models,
See also
Black-Derman-Toy model, Implied binomial tree, Local volatility models

Mondrian, Piet

Monte Carlo computer programs

Morgan Stanley

Mortgage portfolio valuation system.
See
Bear Stearns

Mortgages

Morton, model.
See
Heath-Jarrow-Morton model

Morton Thiokol, puts

Motion, laws (Newton)

Mt. Sinai Medical School

MTS.
See
Bell Laboratories

Muons

Muon-type neutrinos

Musiela, model.
See
Brace-Gatarek-Musiela model

Mutual funds

My Dinner with André
(Malle)

Mystic Path to Cosmic Power, The

N

Nabokov, Vladimir

Nanocomputers

Naropa Institute

Natural constants, values

Natural languages, expression

Nature

Ne'eman, Yuval

Network Systems.
See
Bell Laboratories

Neural-net theory

Neutral heavy lepton

Neutrino.
See also
Muon-type neutrinos

Neutrino Conference

New York Cryonics Society

New York, life in

New York Road Runners Club

New York Stock Exchange (NYSE)

New York University

Newton, Isaac

Newtonian observer

Next (computer)

Ng, John

Nikkei

Nkomo, Joshua

Non-linear algebraic equations

Non-procedural programs

NonVon (computer), plan for, by David Shaw

Nuclear physics, understanding

Nuclear weak decays, parity violation

Nuclei, radioactive disintegration

Number theory, problem/solution

NYSE.
See
New York Stock Exchange

O

OAS.
See
Option-adjusted spread

Objective C, usage

Object-oriented language, writing

Object-oriented programming (OOP)

O'Connor & Co.

Oil crisis (1970s)

Omega Minus (Gell-Mann)

One price, law of

One-Factor Model of Interest Rates and Its Application to Treasury Bond Options, A
, (Black, Derman, Toy)

OOP.
See
Object-oriented programming

Operations Finance & Resources (OF&R).
See
Goldman, Sachs and Co.

Oppenheimer, Robert

Option-adjusted spread (OAS)

Options.
See
Stock options

Options theory

Orange County, derivatives scandals

O'Rourke, Dan

OTC.
See
Over-the-counter

OTÖB conference

Out-of-the-money calls

Out-of-the-money puts

Over-the-counter (OTC) call options

Over-the-counter (OTC) volatility swaps

Overtime hours, at Bell Laboratories

Oxbridge, emulation by Rockefeller University

Oxford University Department of Theoretical Physics

P

Pagels, Heinz

Paine Webber

Pais, Abraham (“Bram”)

Palgrave Dictionary of Economics

Palm Pilots

Parallel-processing computer,
See
NonVon

Parapraxis,
See
Fehlleistung

Paribas Capital Markets

Parity, law of

Parity-violating weak force

Parsing tools

Partial differential equations

Particle physics.
See also
Elementary particle physics

Particles.
See
Fractional charge particle detectors, construction

Partons

P/E.
See
Price to earnings

Peierls, Rudolf

Pencom (company)

Penzias, Arno

Periodic table

Permutation symmetry.
See
Nature extension

Phenomenological models

Phenomenology.
See also
High-energy phenomenology

Photon-electron scattering, Klein-Nishina formula

Physical Review Letters

Physicists.
See
Theoretical physicists

Physicists on Wall Street (POWs)

Physics.
See
Fundamental physics