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

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.

Links:

Money, Desire, Pleasure, Pain [8.7.09]

Beyond Edge:

Emanuel Derman's Home Page

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