Derman, Emanuel

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Professor Emanuel Derman is the Director of the MS program in Financial Engineering at Columbia University and Head of Risk Management at Prisma Capital Partners. Previously he was the Managing Director in Firm-wide Risk at Goldman, Sachs & Co. and a columnist for Risk magazine. He is on the Editorial board of Applied Mathematical Finance. He was a Senior Fellow of the International Association of Financial Engineers. Additionally, he was an Associate Editor of The Journal of Derivatives and Journal of Risk. Professor Derman is an active member of the Courant Institute of Mathematical Sciences, Mathematical Finance Advisory Board Member and Board of Directors, Society of Quantitative Analysts. He was appointed the "Global Finance Magazine Derivatives Superstar" in 1995 and 1996, and was profiled in Global Finance December 1995 issue titled, "Portrait of a Rocket Scientist". He was the IAFE/Sungard Financial Engineer of the Year 2000, and announced to the Risk Magazine Hall of Fame 2002. His educational background is BSc at University of Cape Town, MA at Columbia University, PhD in Particle Physics, Columbia University.


Emanuel's blog can be found here

Selected Bibliography

  • Beware of Economists Bearing Greek Symbols (Harvard Business Review, Oct 2005) Download
  • The Illusion of Dynamic Replication (with Nassim Taleb, April 2005) Download
  • Trading Volatility as an Asset (Talk at the GAIM Conference, Geneva, June 2003) Download
  • The Problem of the Volatility Smile Talk at the Euronext Options Conference, Amsterdam, May 2003 Download
  • More Than You Ever Wanted to Know About Volatility Swaps (The Journal of Derivatives, 6-4 Summer 1999, pp. 9-2) Download
  • Trading & Hedging Local Volatility (The Journal of Financial Engineering, 6-3 September 1997 pp. 1233-8) Download
  • The Local Volatility Surface: Unlocking the Information in Index Options Pricing (Financial Analysts Journal, July-Aug 1996, pp. 25-36) Download
  • Static Options Replication (The Journal of Derivatives, 2-4 Summer 1995, pp. 78-95) Download
  • Options on Periodically-Settled Stocks (1992) Download
  • A One-Factor Model of Interest Rates and its Application to Treasury Bond Options (Black-Derman-Toy) Download
  • Outperformance Options (January, 1992) Download
  • Valuing Convertible Bonds as Derivatives (November 1994 - A one-factor convertible model now used by many hedge funds) Download
  • Investing in Volatility (Futures and Options World, 1998) Download
  • Strike-Adjusted Spread: A New Metric for Estimating the Value of Equity Options (July, 1999) Download