Emanuel Derman (www.ederman.com) is a professor at Columbia University and Director of their program in financial engineering, and is also a principal at Prisma Capital Partners, a fund of funds. His book, 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. He is a popular keynote speaker at financial conferences.
Dr Derman obtained a Ph.D. in theoretical physics from Columbia University in 1973. Between 1973 and 1980 he did research in theoretical particle physics at various universities, and from 1980 to 1985 he worked at AT&T Bell Laboratories.
In 1985 Dr 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, where they 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 become head of the firm’s Quantitative Risk Strategies group. He retired from Goldman, Sachs in 2002 and took a position at Columbia University and Prisma.
Dr Derman was named the IAFE/Sungard Financial Engineer of the Year 2000,
and was elected to the Risk Hall of Fame in 2002. He received the 2006 Wilmott Award for Contributions to Quantitative Finance.
Recent Blog Posts by Emanuel Derman
- Ain’t Misbehavioral
- My Own Private Stimulus
- On How We Got Here
- Third Willed
- The $elfish Djinn
- Hot Shots and Pot Shots
- Forest Fires
- Giving Credit where Credit is Due
- The Hollercaust
- Unpredictable Inevitability
- A Sigh is Just A Sigh
- Do Keynesians Laugh When They Tickle Themselves?
- Oh. Boy. Another. Mishandled. Appointee.
- More News from Nowhere
- Diagnostic and Statistical Manual of Mental Disorders: 312.31
- Water Water Everywhere
- A Riddle I Heard Today
- “I am in the station assisting customers. You’ll recognize me by my burgundy blazer/vest.”
- Robert Skidelsky …
- The Financial Modelers’ Manifesto
- Dirt Under The Rug