In our latest Masters in Business podcast, we speak with quant and financial engineer Emanuel Derman.
One of the first high-energy particle physicists to migrate to finance, he spent 17 years onWall Street, eventually becoming head of the renowned Quantitative Strategies group at Goldman, Sachs. At GS he co-developed the Black-Derman-Toy interest rate model and the Derman-Kani local volatility model (both now widely used industry standards).
Derman was the recipient of IAFE/Sungard Financial Engineer of the Year (FEOY) award in 2000. He is currently Director of MS Program in Financial Engineering at Columbia University. He is the author: of My Life as a Quant: Reflections on Physics and Finance and Models.Behaving.Badly.
Anyone interested in financial modeling, quantitative analysis and the rise of mathematics on Wall Street will likely find this a fascinating discussion.