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Emanuel Derman

Professor
Industrial Engineering and Operations Research
Columbia University
United States of America

Biography

Professor Emanuel Derman joined Columbia University's Industrial Engineering and Operations Research Department in 2003. Prior to joining Columbia, he was a managing director at Goldman Sachs, where he was head of the quantitative strategies group in the equities division, and then head of quantitative risk strategies in firm-wide risk. He is currently the Director of the MS Program in Financial Engineering here in Columbia University's Industrial Engineering and Operations Research Department. He 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. He was the IAFE/Sungard Financial Engineer of the Year in 2000. Professor Derman's research interests include quantitative finance, financial engineering, derivatives valuation, volatility models, and risk management. He has published in numerous journals including the Financial Analysts Journal, RISK, The Journal of Portfolio Management, and The Journal of Derivatives.

Research Interest

" Finance/Financial Engineering Risk Management"

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