Emanuel Derman

Emanuel Derman
Emanuel Derman
Professor, Financial Engineering, Columbia University; Principal, Prisma Capital Partners; Former Head, Quantitative Strategies Group, Equities Division, Goldman Sachs & Co.; Author, Models.Behaving.Badly

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

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. He is the author of Models.Behaving.Badly and My Life As A Quant.

Books