Emanuel Derman

Emanuel Derman received his PhD in theoretical particle physics from Columbia University and spent several years as a physics researcher before joining Goldman Sachs in 1985. At Goldman he joined the quantitative strategies group and became one of the most influential quant researchers on Wall Street. Together with Fischer Black and Bill Toy, he co-created the Black-Derman-Toy model (1990) — a single-factor interest rate model for pricing bond options and interest rate caps and floors. The model became widely used in practice for its tractability and its ability to fit the observed yield curve. After 17 years at Goldman, where he eventually became Head of Quantitative Strategies, Derman joined Columbia University as a professor of industrial engineering. His 2004 memoir "My Life as a Quant: Reflections on Physics and Finance" is one of the most candid and intellectually engaging accounts of the quantitative finance revolution — describing both his joy in applying mathematics to finance and his reflections on the limitations of financial models. With Paul Wilmott he co-authored "The Financial Modelers' Manifesto" and "The Modelers' Hippocratic Oath," calling for greater intellectual humility in quantitative modelling — arguments that proved prescient when models failed during the 2008 crisis.