Concepedia

Emanuel Derman

ED

25

Publications

2.9K

Citations

18

H-Index

1975

Active since

Affiliations

Goldman Sachs (United States)(Current)

Columbia University

Rockefeller University

University of Pennsylvania

University of Oxford

Emanuel Derman is an author at Goldman Sachs (United States) specializing in business, finance, and particle physics.

Top concepts

FinanceBusinessParticle PhysicsPhysicsEngineeringOption PricingNatural SciencesAsset PricingFinancial EconomicsFinancial Engineering

Publications per year

1975–2009

25

Publications

25

A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options

Fischer Black, Emanuel Derman, William W. Toy · Financial Analysts Journal · 1990 · 994 citations

Monetary Policy, Option Pricing, Economics +13

A Guide to Volatility and Variance Swaps

Kresimir Demeterfi, Emanuel Derman, Michael Kamal et al. · The Journal of Derivatives · 1999 · 470 citations

Volatility Modeling, Multivariate Stochastic Volatility, Option Pricing +12

Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility

Emanuel Derman, Iraj Kani · International Journal of Theoretical and Applied Finance · 1998 · 267 citations

Volatility Modeling, Engineering, Arbitrage Pricing +18

Static Options Replication

Emanuel Derman, Deniz Ergener, Iraj Kani · The Journal of Derivatives · 1995 · 203 citations

Static Options Replication, Option Pricing, Data Consistency +5

Implied Trinomial Tress of the Volatility Smile

Emanuel Derman, Iraj Kani, Neil Chriss · The Journal of Derivatives · 1996 · 144 citations

Analytic Number Theory, Volatility Smile, Theta Function

Rows per page

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