About
Emanuel Derman is a Professor of Professional Practice at Columbia University’s Department of Industrial Engineering and Operations Research, part of the School of Engineering and Applied Science. He joined Columbia in 2003 after a prominent career as a Managing Director at Goldman Sachs, where he led quantitative strategies and risk management divisions. His groundbreaking contributions include the Black-Derman-Toy interest-rate model and advancements in volatility modeling, earning him the IAFE/Sungard Financial Engineer of the Year Award (2000). Derman’s research focuses on quantitative finance, derivatives valuation, and risk management, with notable work on volatility smiles and model limitations. His influential memoir My Life as a Quant (2004) explores his transition from physics to finance and was a Business Week top book. His recent work critiques financial models’ assumptions, as seen in Models. Behaving. Badly. (2011).
His academic contributions span financial engineering education and systemic risk analysis, with articles addressing volatility trading strategies, hedge fund modeling, and the ethical implications of financial models. Derman’s interdisciplinary background bridges physics and finance, emphasizing the limitations of theoretical models in real-world applications.
- Awards: IAFE/Sungard Financial Engineer of the Year (2000)
- Key Themes: Volatility modeling, derivatives pricing, model risk, and the interplay between physics and finance.
