MiB: Emanuel Derman

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.

You can stream the full podcast below, or download it on Apple iTunesBloomberg, or SoundCloud. All of our earlier podcasts are available iTunes, Soundcloud and Bloomberg.

 

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  1. Quantocracy's Daily Wrap for 03/04/2016 | Quantocracy commented on Mar 6

    […] MiB: Emanuel Derman (h/t @AbnormalReturns) [Big Picture] 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 […]

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