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Title: Professor

Short Description: 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. Emanuel's latest book, 'Models.Behaving.Badly' is due out in October 2011 and can be pre-ordered at: http://amzn.to/lla6GC

Institution: Columbia University

Dept Homepage: link

Twitter URL:

Blog URL: link

Is this Member on the AGENDA team?: No

Joined: July 2nd, 2011

Activity

Emanuel Derman wrote a new blog post titled REVISION: The Illusions of Dynamic Replication

While modern financial theory holds that options values are derived by dynamic replication, they can be correctly valued far more simply by long familiar static and actuarial arguments that combine stochastic price evolution with the no-arbitrage relation between cash and forward contracts.
(1124 days ago)

Emanuel Derman wrote a new blog post titled REVISION: Metaphors, Models & Theories

Theories deal with the world on its own terms, absolutely. Models are metaphors, relative descriptions of the object of their attention that compare it to something similar already better understood via theories. Models are reductions in dimensionality that always simplify and sweep dirt under the rug. Theories tell you what something is. Models tell you merely what something is partially like.
(1124 days ago)

About me:

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. My Life as A Quant: Reflections on Physics and Finance was published by Wiley in September 2004, and was one of Business Week's top ten books of the year for 2004. His forthcoming book Models.Behaving.Badly, will be published by Free Press in October 2011 and and can be pre-order here: http://amzn.to/lla6GC

In 2000 Emanuel was named IAFE/SunGard Financial Engineer of the Year and in 2002 was elected to the Risk Hall of Fame (pdf).

In 2009 Emanuel was co-author with Paul Wilmott of 'The Financial Modellers Manifesto'.