Emanuel Derman

Who is Emanuel Derman?

Emanuel Derman 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.

He is currently a professor at Columbia University and Director of its program in financial engineering, and is also the Head of Risk and a partner at 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. [Free Press, 2011]