In his LRB winter lecture at the British Museum, the critic James Wood addressed the theme of exile – "On Not Going Home". In it he spoke of "tragic homelessness, connected to the ancient sentence of banishment", and of more commonplace, self-chosen exile: "secular homelessness". Seizing on the work of the great Edward Said and Georg Lukács, he sought to define a new mode of postcolonial literature, "that moves between, and powerfully treats, questions of homelessness, displacement, emigration, voluntary or economic migration". He used WG Sebald – a Wood favourite – as the avatar of this new form of exilic writing, focusing particularly on The Emigrants. He also cited Teju Cole's Open City, a novel whose narrator, Julius, shifts from New York to Nigeria to Belgium, never at home, endlessly pursued by his "sense of being different, being set apart".

Wood hadn't read Zia Haider Rahman's debut novel, In the Light of What We Know, when he made his speech. If he had, he surely would have included it in his survey (he gave the book a stunning write-up in the New Yorker on its US release). Heavily hyped, well over 500 pages long and bristling with ideas about mathematics and politics, history and religion, Rahman's novel also wrestles with the intricacies of the 2008 financial crash. It is encyclopedic in its reach and depth, dazzling in its erudition. Which all makes it sound like hard work, a novel to admire, perhaps, rather than to love. It is, though, in the shattered figure of the novel's protagonist, Zafar, that the book finds its heart. Zafar is reminiscent of a figure from another Sebald novel – Jacques Austerlitz – a man broken by history. Unlike Austerlitz, though, Zafar is angry, propelled by a boiling intransitive rage that is the engine of the novel's twisting, peripatetic narrative.

Sebald's Austerlitz provides more than just a model for Rahman's hero. Like Teju Cole, Rahman picks up on Sebald's antique and fastidious prose style, his Teutonic use of the sub-clause. The following passage from early on in the novel might be a pastiche of Sebald: "I cannot recall those memories themselves, the ripples on the surface of a young child's mind, but I am able to see that those early days set in motion deep currents coming down over the years, even to today, here and now." Later, we read that Zafar "remembered the swell of emotion, which was to subdue me for the remainder of the day, as I came upon a blue braided velvet rope hung between brass stanchions, cordoning off the part of the castle retained in use by the incumbent aristocrat".

Like Austerlitz, In the Light of What We Know uses a mediating narrator figure, an unnamed banker from a privileged background (his grandfather was Pakistani ambassador to the US, his parents are Oxford academics). Zafar, on the other hand, was born in Sylhet, a "corner of a corner" of north-eastern Bangladesh; his father works as a waiter. Friends from their university days (they both studied mathematics), and then briefly on Wall Street, they had lost touch until Zafar turns up, gaunt and dishevelled, on the doorstep of the narrator's stucco-fronted Kensington home in September 2008. The narrator is separated from his wife (also a banker) and, given his penchant for mortgage-backed securities, from his job. He welcomes Zafar and gives him a room in the eaves of the house. Then, with the aid of a Dictaphone and his friend's meticulous notebooks, he attempts to transcribe Zafar's tragic, tortuous tale.

And what a story it is. Like Zia Haider Rahman himself, Zafar left banking to take up a position as an international human rights lawyer some time in the late 1990s. (While the "I" voice in the novel is clearly fictional, there are amusing if ultimately pointless games to be played trying to work out how much of Zafar's ataxic, rootless existence is that of the author). Zafar's tale takes us from London to Kabul, from New York to Islamabad, encountering shadowy military officials, dodgy financial types and hard-drinking mercenaries along the way. We also meet the improbably named Emily Hampton-Wyvern, a glacial toff to whom Zafar is briefly engaged. Their love story (although there is very little love on her part) is the thread that ties the disparate narrative strands together. In the face of this beautiful but otherwise unexceptional girl, all Zafar's great learning counts for naught.

James Wood has compared In the Light of What We Know with The Great Gatsby. I think a better comparison is with Gatsby's British cousin, Brideshead Revisited. This is a novel about class, about the citadel of chilly manners that Emily builds around herself and Zafar's mad, doomed attempts to breach it. It is about the allure of the aristocracy and of Oxbridge, and how these bastions of Britishness still hold sway in a frenetic, globalised world. Alongside a slew of epigraphs from postcolonial mainstays such as Coetzee, Naipaul and Said, one of the chapters begins with a quote from Somerset Maugham: "Sometimes people carry to such perfection the mask they have assumed that in due course they actually become the person they seem." This is Zafar's battle and his curse.

Edward Said said that the intellectual's duty was "first distilling then articulating the predicaments that disfigure modernity – mass deportation, imprisonment, population transfer, collective dispossession and forced immigration". In the figure of Zafar, Zia Haider Rahman has given us all this and more. In the Light of What We Know is an extraordinary meditation on the limits and uses of human knowledge, a heartbreaking love story and a gripping account of one man's psychological disintegration. This is the novel I'd hoped Jonathan Franzen's Freedom would be (but wasn't) – an exploration of the post-9/11 world that is both personal and political, epic and intensely moving.