Emanuel Derman

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Emanuel Derman is a South African-born academic and businessman. He is best known as a quantitative analyst, and author of the book My Life as a Quant: Reflections on Physics and Finance[1]. He is a co-author of Black-Derman-Toy model, one of the first interest-rate models, and the Derman-Kani local volatility or implied tree model, the first model consistent with the volatility smile.

He is currently a professor at Columbia University and Director of its program in financial engineering, and is also the Head of Risk and a partner at Prisma Capital Partners, a fund of funds. My Life as A Quant: Reflections on Physics and Finance was published by Wiley in September 2004, and was one of Business Week's top ten books of the year for 2004[2].

Derman studied at the University of Cape Town, and received a Ph.D. in theoretical physics from Columbia in 1973, where he wrote a thesis that proposed a test for a weak-neutral current in electron-hadron scattering. Between 1973 and 1980 he did research in theoretical particle physics at the University of Pennsylvania, the University of Oxford, Rockefeller University and the University of Colorado at Boulder. From 1980 to 1985 he worked at AT&T Bell Laboratories, where he developed computer languages for business.

In 1985 Derman joined Goldman Sachs' fixed income division where he was one of the co-developers of the Black-Derman-Toy interest-rate model. From 1990 to 2000 he led the Quantitative Strategies group in the Equities division, which pioneered the study of local volatility models and the volatility smile. He was appointed a managing director of Goldman Sachs in 1997. In 2000 he became head of the firm’s Quantitative Risk Strategies group. He retired from Goldman Sachs in 2002 and took up his current positions at Columbia University and Prisma Capital Partners.

Derman was named the IAFE/Sungard Financial Engineer of the Year 2000[3], and was elected to the Risk Hall of Fame in 2002[4]. He is the author of numerous articles on quantitative finance on the topics of volatility and the nature of financial modeling[5].

[edit] Reference

  1. ^ E. Derman, My Life as A Quant: Reflections on Physics and Finance, Wiley (2004) ISBN 0471394203 (also available in paperback, ISBN 0470192733)
  2. ^ The Pick Of This Year's Crop Of Books (December 13, 2004)
  3. ^ Emanuel Derman 2000 IAFE/SunGard Financial Engineer of the Year Award (Copy of press release from SunGard)
  4. ^ Excerpts from Risk (PDF)
  5. ^ Publication list on quantative finance

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