Emanuel Derman

Emanuel Derman is a native of South Africa, a financial expert, businessman and physicist. Derman, who long worked in investment banks and is now a professor at Columbia University, was known by the development of several mathematical models, as well as his autobiography, My Life as a Quant: Reflections on Physics and Finance.

Life

Emanuel Derman grew up in South Africa. After studying physics at the University of Cape Town, he moved to the U.S. in 1973 and received his doctorate at Columbia University in the field of theoretical particle physics. Until 1980 he was a postdoctoral fellow at the University of Pennsylvania, the University of Oxford, The Rockefeller University and the University of Colorado at Boulder.

Then left Derman science and worked from 1980 to 1985 at Bell Laboratories, where he developed computer algebra systems among others.

From 1985-1988 and from 1990-2000 Derman worked for the investment bank Goldman Sachs. First, he developed together with Fischer Black and William Black- Derman - Toy, the Toy model for pricing of bond options. In 1988 he moved to Salomon Brothers, but was released there after a year and then returned to Goldman Sachs, where he took over in the equity department head of the " Quantitative Strategy " group. He worked in the years that followed, among others, further developments of the Black- Scholes model for options. The Derman - Kani - model in which the volatility of a local, ie from the base value is a dependent variable, is one of the first models to explain the volatility smile for options.

In 2002, Derman Goldmann Sachs left and has been a professor at Columbia University and a partner in the company Prisma Capital Partners.

Appeared in 2004 published Emanuel Derman the autobiographical book My Life as a Quant: Reflections on Physics and Finance.

Derman was honored in 2000 with the price Financial Engineer of the Year ( Feøy ) of the International Association of Financial Engineers. He has written many scientific papers in physics, computer science and financial journals. He stressed in articles and lectures, the differences between physical and financial models and warns of the consequences of uncritical dealing with the latter. Together with Paul Wilmott, he wrote in response to the financial crisis in 2007, the " Financial Modelers ' Manifesto" for the responsible use of models.

• My Life as a quant (2004)
• Models.Behaving.Badly (2011)