Emanuel Derman
Emanuel Derman | |
|---|---|
Derman in July 2013 | |
| Born | 1945 (age 79–80) Cape Town, South Africa |
| Citizenship | United States |
| Alma mater | Columbia University University of Cape Town |
| Known for | Financial Modelers' Manifesto Black–Derman–Toy model Local volatility Derman–Kani model |
| Awards | 2000 Financial Engineer of the Year |
| Scientific career | |
| Fields | particle physics, financial engineering |
| Institutions | Goldman Sachs Salomon Brothers Columbia University |
| Doctoral advisor | Norman 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.
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 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. In 2011, he published Models.Behaving.Badly, a book contrasting financial models with the theories of hard science, and also containing some autobiographical material.