In our latest Masters in Business podcast, we speak with former Goldman Sachs quant and financial engineer Emanuel Derman. He is currently Director of the graduate program in Financial Engineering at Columbia University.
One of the first high-energy particle physicists to migrate to finance, he spent 17 years on Wall 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 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.