Director of Financial Engineering, Columbia University
Emanuel Derman is a professor at Columbia University, where he directs their program in financial engineering. 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, where he co-developed the Black-Derman-Toy interest rate model and the local volatility model. He is the author of The Volatility Smile (Wiley, 2016) with Michael Miller; Models.Behaving.Badly (Free Press, 2011), one of Business Week’s top 10 books of 2011; and My Life As A Quant (Wiley, 2004), in which he introduced the quant world to a wide audience.