Emanuel Derman

Professor of Practice Emeritus at Columbia University

Speaker

EMANUEL DERMAN is Professor of Practice Emeritus at Columbia University, where he directed their program in financial engineering from 2003 – 2023. He is the author of The Volatility Smile (Wiley, 2017), a textbook on modern options theory, Models.Behaving.Badly (Free Press 2011), one of Business Week’s top ten books of 2011, and My Life As A Quant (Wiley 2004), also one of Business Week’s top ten of 2004, in which he introduced the quant world to a wide audience. His latest book is Brief Hours and Weeks, an account of growing up in a now-lost era in a small, tightly knit, first-generation Polish-Jewish community in Cape Town.

He was born in South Africa but has lived most of his professional life in Manhattan, where he has made contributions to several fields. He started out as a theoretical physicist, doing research on unified theories of elementary particle interaction at Columbia University, the University of Pennsylvania, and Oxford University. At AT&T Bell Laboratories in the 1980s he developed programming languages for business modeling. 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.