Emanuel Derman
Co-Head of Risk at Prisma Capital Partners and a professor at Columbia University
Biografía del instructor
Manuel Derman is Co-Head of Risk at Prisma Capital Partners and a professor at Columbia University, where he directs their program in financial engineering. His latest book is Models.Behaving.Badly: Why Confusing Illusion with Reality Can Lead to Disasters, On Wall Street and in Life, one of Business Week’s top ten books of 2011. He is also the author of My Life As A Quant, also one of Business Week’s top ten of 2004, in which he introduced the quant world to a wide audience.
He was born in South Africa but has lived most of his professional life in Manhattan, where he has made contributions to several fields. He started out as a theoretical physicist, doing research on unified theories of
elementary particle interactions. At AT&T Bell Laboratories in the 1980s he developed programming languages for business modeling. From 1985 to 2002 he worked on Wall Street, running quantitative strategies
research groups in fixed income, equities and risk management, and was appointed a managing director at Goldman Sachs & Co. in 1997. The financial models he developed there, the Black-Derman-Toy interest rate
model and the Derman-Kani local volatility model, have become widely used industry standards.
In his 1996 article Model Risk Derman pointed out the dangers that inevitably accompany the use of models, a theme he developed in My Life as a Quant. Among his awards and honors, he was named the SunGard/
IAFE Financial Engineer of the Year in 2000. He has a PhD in theoretical physics from Columbia University and is the author of numerous articles in elementary particle physics, computer science, and finance.
He writes a fortnightly column called Models Behaving Badly for the Frankfurter Allgemeine Zeitung.
He was born in South Africa but has lived most of his professional life in Manhattan, where he has made contributions to several fields. He started out as a theoretical physicist, doing research on unified theories of
elementary particle interactions. At AT&T Bell Laboratories in the 1980s he developed programming languages for business modeling. From 1985 to 2002 he worked on Wall Street, running quantitative strategies
research groups in fixed income, equities and risk management, and was appointed a managing director at Goldman Sachs & Co. in 1997. The financial models he developed there, the Black-Derman-Toy interest rate
model and the Derman-Kani local volatility model, have become widely used industry standards.
In his 1996 article Model Risk Derman pointed out the dangers that inevitably accompany the use of models, a theme he developed in My Life as a Quant. Among his awards and honors, he was named the SunGard/
IAFE Financial Engineer of the Year in 2000. He has a PhD in theoretical physics from Columbia University and is the author of numerous articles in elementary particle physics, computer science, and finance.
He writes a fortnightly column called Models Behaving Badly for the Frankfurter Allgemeine Zeitung.