Emanuel Derman

EMANUEL DERMAN, a former managing director and head of the Quantitative Strategies group at Goldman, Sachs & Co., is a professor in Columbia University's Industrial Engineering and Operations Research Department, as well as a partner at Prisma Capital Partners.

Derman is best known for his work on the Black-Derman-Toy interest-rate model and for developing local volatility models of the implied volatility smile. His research interests include quantitative finance, financial engineering, derivatives valuation, volatility models, and risk management. He is the author of My Life As A Quant.


Money, Desire, Pleasure, Pain [8.7.09]

Breaking The Cycle: A Conversation with Emanuel Derman [5.26.10]

Beyond Edge:

Emanuel Derman's Home Page