My Life as a Quant (46 page)

Pinkus, Scott

P&L.
See
Profit and loss

Planck, Max

Planetary motion, laws (Kepler)

Plauger, P.J.

Political correctness

Polypaths (company, Diller)

Post-Black-Scholes model, construction

Postdoctoral research positions

POWs.
See
Physicists on Wall Street

Prepayment rates, regression model.
See
Adjustable Rate Mortgage

Preprint, circulation

Prescott, Charles

Presentation style, Black

Price to earnings (P/E) ratio

Princeton University

Privacy, invasion of

Probability cloud

Procedural languages

Procedural programs.
See
Nonprocedural programs

Procter and Gamble, derivatives scandals

Profit and loss (P&L)

Programming: Practice and Experience

Programming (activity)

Prometheus Project, The

Protons

Publish or perish, experience of

Pure theory

Q

QED.
See
Quantum electrodynamics

Quals.
See
Columbia University

Quantal (financial software company)

Quantitative Strategies Group.
See
Goldman, Sachs and Co.

Quantitative Strategies Research Reports

Quanto option

Quants

Quantum electrodynamics (QED)

Quantum mechanics

Quarks.
See
Charmed quark

Quotron, (device)

R

Rabi, I.I.

Ranieri, Lew

Raz, Rita

Reductionists

Reflection-invariant forces.
See
Nature

Reich, Wilhelm

Relativity, theory.
See
Special relativity

Renaissance

Replication method.
See
Merton convergence.
See
Black-Scholes value

Risk
(magazine)

Risk management

Risk Management System (RMS) (company)

Risk systems

Risk/return, relationship

Risky ingredient, specification.
See
Options

Ritchie, Dennis

RMS.
See
Risk Management System

Rockefeller Foundation

Rockefeller University

Rogers, Dave

Roll & Ross Asset Management

Roscoe.
See
Dumas

Ross, Stephen A.

Rouhani, Ramine

Rubin, Bob

Rubinstein, Mark

Rudd, textbook

Ruderman, Malvin

Russia, default (1998)

Rutherford Laboratories

S

Shopiro, Jonathan

Salam, Abdus

Salomon Brothers

Salthouse, Andy

Samuelson, Paul

Samurai (trading system)

Scheinkman, José

Schlumberger

Scholes, Myron

Schopenhauer, Arthur

Schrieffer, Bob

Schrödinger, Erwin

Schwartz, Mel

Schwenk, Peter

Schwinger, Julian

Securities Industry Association

Security.
See
Derivative security fair value

SERI.
See
Solar Energy Research Institute

Seymour (object-oriented language)

Shakespeare and Co. (bookstore)

Shannon, Claude

Shapiro, Lucy

Sharaf, Myron

Sharpe, William

Shaw, David.
See also
D.E. Shaw & Co.

Shaw & Co., D.E.

Shawn, Wallace

Shearson

Sheppard, Ed

Sherman, Ron

Shockley William B.

Shorter, Frank

Short-term bonds

Short-term interest rates

Short-term options, expiration

Short-term problems

Short-term volatilities.
See also
Index, Local volatility

Showers, Janet

Siegel, Mo

Sigma (σ)

Silfen, David

Simon Fraser University

Simultaneous algebraic equations

Sin, mechanical expiation of

Sinclair, Don

Sitzfleisch

Skew
See also
Smile Skidelsky, Robert

SLAC.
See
Stanford Linear Accelerator Center

Sloan School

Smalltalk (computer language), usage

Smile.
See
Equity options; Volatility

Smith, Chris Llewellyn

Smith Barney (company)

Smith Hanley (company)

Solar Energy Research Institute (SERI)

Songs of Innocence and Experience
(Blake)

S&P.
See
Standard & Poor's

Special relativity, theory (Einstein)

Squalid-state physics (solid-state physics)

Standard & Poor's (S&P)

Stanford Linear Accelerator Center (SLAC)

Stanford Research Institute

Steambath
(Bruce Jay Friedman)

Steinberger, Jack

Steiner, Rudolf

Stochastic calculus

Stock options

Stock prices

Stocks

Stop-time

Stormer, Horst

Strachey, James

String theory

Structured Equity Products business

Strunk, Jr., William

Subnuclear particles

Sun UNIX workstations

SunGard (financial software company)

SunGard IAFE Financial Engineer of the Year

Swaps.
See
Volatility

Swiss Bank, merger with UBS

Swiss watch collisions

Symbolics.
See
Lisp

Symmetry
See
also Particle physics, Local gauge invariance, Parity, Nature

Szüts, Eté

T

Tachyons

Tao of Physics, The
(Capra)

Tartaglia, Nunzio

Tatevossian, Armand

Tau-theta puzzle

Taylor, Richard

T.D.
See
Lee

TIAA-CREF

Technology bubble

Teller, Edward

Tests for a Weak Neutral Current
(Derman)

TeX (computer language)

Theoretical particle physics

Theories, success

Theories of Everything (TOEs)

Theory, exploration/refutation, relation to phenomenology

Theory of Colours
(Goethe)

Theory of Electrons
(Lorentz)

Theory of Rational Optional Pricing
(Merton)

Theosophists

Thermodynamics, understanding

Thinkers, doers (contrast)

Thinktank (computer program)

Thompson, Ken

Tibetan Buddhism

TOEs.
See
Theories of Everything

Tolstory, Leo

Tomonaga, Shin'ichiro

Totalitarian Principle.
See
Gell-Mann

Tour de France

Toward a Fully Automated Exchange
(Black)

Toy, Bill

Traders

Trailing zeros, removal

Transformer

Translation process

Trees.
See
Binomial trees; Flexible tree

Treiman, Sam

Treynor, Jack

Trungpa, Chogyam

Tucker: The Man and His Dreams
(Coppola)

Turing, Alan

Two-condom problem

U

Uberoi, J.P.S.

UBS, merger

Understanding Guaranteed Exchange-Rate Options
(Derman, Karasinski, Wecker)

Unified field theories

Universe, laws (pursuit)

University of Cape Town

University of Chicago

University of Colorado loneliness

University of Coral Gables

University of Michigan (Ann Arbor)

University of Wisconsin (Madison)

University of Oregon

University of Pennsylvania

University of Toronto

UNIX

U.S.Treasury bonds

V

Value at Risk (VaR)

Van Wyk, Chris

Vanya on Forty-Second Street
(Malle)

VaR.
See
Value at Risk

Vasiçek, Oldrich

VAX (computer), usage

Velvet Revolution

Vienna options exchange

Vietnam War

Visicalc, usage

Volatility.
See also
Local volatility; Short-term volatilities

von Neumann, John

VT-100 terminal emulator

W

Waldmann, Mike (mortgage research group)

Wall Street

Wastrom, Rick

Watson Labs

Weak force.
See also
Parity-violating weak force

Weak interactions.
See
Parity-violating weak interaction

Weak neutral current

Weak/electromagnetic interactions, Yang-Mills gauge theories

Wecker, Jeff

Weinberg, David

Weinberg, Steven

Weinberg-Salam standard model

Weingarten, Don

Weiss, Larry

Weisskopf, Victor

Weizmann Institute

Wells Fargo

Western Electric

When Genius Failed
(Lowenstein)

White, E.B.

White, model.
See
Hull-White model

Wilczek, Frank

Williams College

Wilmott, Paul

Wilmott on Derivatives
(Wilmott)

Wilson, Robert

Wind in the Willows
(Milne),
The

Wolfram, Stephen

Wolfram Research

World Trade Center, attack

World War II

W.R.: Mysteries of the Organism
(Makeveyev)

Wu, Chien-Shiung

X

Xerox PARC inventions

X-rays, propagation

Y

Yacc.
See
Yet Another Compiler-Compiler

Yang, Chen-Ning

Yet Another Compiler-Compiler (Yacc)

Yield

Yield curve

Yield to maturity

Yiu, Chang-Li

Y2K, anxiety