FEYNMAN AND FREUD, WHAT GRADUATE SCHOOLS DO NOT TEACH YOU

For the last few months I have been teaching financial engineering at Columbia University, where I have been struck again by the difference between what can be taught in school and what can be learned on the job. Most of my quant generation arrived on Wall Street ignorant of financial theory; we began to learn its principles under the duress of having to quickly do something practical for someone on a desk. Nowadays there is an entire industry devoted to quant training. But in many ways quantization still requires apprenticeship, and so, for a recent conference talk, I tried to think about some of the things you discover when you finally put your training into practice.