Emanuel Derman : Isenberg School of Management : UMass Amherst

Professor of Practice Emeritus, Financial Engineering Program, Columbia University Emanuel Derman is a Professor of Practice emeritus in the financial engineering program at Columbia University. He h

Professor of Practice Emeritus, Financial Engineering Program, Columbia University

Emanuel Derman is a Professor of Practice emeritus in the financial engineering program at Columbia University. He has written several books, including My Life as a Quant: Reflections on Physics and Finance and Models Behaving Badly: Why Confusing Illusion with Reality Can Lead to Disasters, On Wall Street and in Life. From 1985 to 2002 he worked on Wall Street, running quantitative strategies research groups in fixed income, equities and risk management, and was appointed a managing director at Goldman Sachs & Co. in 1997. The financial models he developed there, the Black-Derman-Toy interest rate model and the Derman-Kani local volatility model, have become widely used industry standards. In 2016, Derman and Michael Miller published, The Volatility Smile, a textbook about the principles of financial modeling, option valuation, and the variety of models that can account for the volatility smile. Among his awards and honors, he was named the SunGard/IAFE Financial Engineer of the Year in 2000. He has a PhD in theoretical physics from Columbia University and is the author of numerous articles in elementary particle physics, computer science, and finance.