Emanuel Derman
Emanuel Derman (* 1944 ) is a financial scientist, businessman and physicist from South Africa . Derman, who worked for investment banks for a long time and is now a professor at Columbia University , was best known for developing several financial mathematical models , as well as for his autobiography My Life as a Quant: Reflections on Physics and Finance .
Life
Emanuel Derman grew up in South Africa. After studying physics at the University of Cape Town , he moved to the USA and received his doctorate in 1973 from Columbia University in the field of theoretical particle physics . Until 1980 he worked as a postdoc at the University of Pennsylvania , the University of Oxford , Rockefeller University and the University of Colorado at Boulder .
Derman then left science and worked from 1980 to 1985 at Bell Laboratories , where he developed computer algebra systems , among other things .
From 1985 to 1988 and from 1990 to 2000 Derman worked for the investment bank Goldman Sachs . First he developed the Black Derman Toy model for determining the price of bond options with Fischer Black and William Toy . In 1988 he moved to Salomon Brothers , but was dismissed there after a year and then returned to Goldman Sachs, where he became head of the Quantitative Strategy group in the Equity department. In the following years he worked on further developments of the Black-Scholes model for options . The Derman-Kani model , in which volatility is a local, i.e. H. the underlying is dependent variable, is one of the first models to explain the volatility smile for options.
In 2002 Derman left Goldman-Sachs and has since been a professor at Columbia University and a partner at Prisma Capital Partners .
In 2004 Emanuel Derman published the autobiographical book My Life as a Quant: Reflections on Physics and Finance .
Derman was awarded the Financial Engineer of the Year (FEOY) award by the International Association of Financial Engineers in 2000. He has written many academic papers in physics, computer science and finance journals. In articles and lectures he emphasizes the differences between physical and financial mathematical models and warns of the consequences of uncritical handling of the latter. Together with Paul Wilmott , he wrote the “Financial Modelers' Manifesto” on the responsible use of models in response to the financial crisis from 2007 onwards .
Books
- E. Derman: My Life as a quant . Wiley, 2007, ISBN 978-0-470-19273-3 .
- E. Derman: Models.Behaving.Badly . Free Press, 2012, ISBN 978-1-4391-6499-0 .
- E. Derman: Bad Behavior . A Collection of Essays, Columns and Stories, 2012-2013. 2013 (eBook).
- E. Derman, MB Miller: The Volatility Smile . Wiley, 2016, ISBN 978-1-118-95916-9 , doi : 10.1002 / 9781119289258 .
Web links
- Official website of Emanuel Derman. (English).
- Homepage at Columbia University. columbia.edu(English).
- Once a physicist: Emanuel Derman. Institute of Physics (English).
- Emanuel Derman. bigthink.com(English, biography and essays).
Individual evidence
- ↑ Union Investment - Keynote Speaker. Retrieved March 4, 2020 .
- ↑ My Life as a quant , p. 201
- ↑ Senior Team Members. ( Memento from January 14, 2014 in the Internet Archive ) Prisma Capital Partners
- ↑ List of publications ( Memento of February 8, 2012 in the Internet Archive )
- ↑ Financial modeler Manifesto
| personal data | |
|---|---|
| SURNAME | Derman, Emanuel |
| BRIEF DESCRIPTION | South African economist and physicist |
| DATE OF BIRTH | 1944 |