Emanuel Derman

Emanuel Derman
Born1945 (age 78–79)
Cape Town, South Africa
CitizenshipUnited States
Alma materColumbia University
University of Cape Town
Known forFinancial Modelers' Manifesto
Black–Derman–Toy model
Local volatility
Derman–Kani model
Awards2000 Financial Engineer of the Year
Scientific career
Fieldsparticle physics, financial engineering
InstitutionsGoldman Sachs
Salomon Brothers
Columbia University
Doctoral advisorNorman Christ

Emanuel Derman (born 1945) is a South African-born academic, businessman and writer. 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, a model consistent with the volatility smile.

Derman, who first came to the U.S. at age 21, in 1966, is currently a professor at Columbia University[2] and Director of its program in financial engineering. Until recently he was also the Head of Risk and a partner at KKR Prisma Capital Partners, a fund of funds. His book My Life as a Quant: Reflections on Physics and Finance, published by Wiley in September 2004, was one of Business Week's top ten books of the year for 2004.[3] In 2011, he published Models.Behaving.Badly, a book contrasting financial models with the theories of hard science, and also containing some autobiographical material.

  1. ^ Derman, Emanuel (2008). My life as a Quant : Reflections on physics and finance (Second ed.). Hoboken, N.J.: Wiley. ISBN 978-0-470-19273-3.
  2. ^ "Archived copy". Archived from the original on 6 December 2006. Retrieved 6 December 2006.{{cite web}}: CS1 maint: archived copy as title (link)
  3. ^ The Pick Of This Year's Crop Of Books (13 December 2004) Archived 13 December 2007 at the Wayback Machine