Emanuel Derman

Columbia University

Professor

3022 Broadway

New York, NY 10027

United States

http://www.emanuelderman.com

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 2,281

SSRN RANKINGS

Top 2,281

in Total Papers Downloads

25,812

SSRN CITATIONS
Rank 45,424

SSRN RANKINGS

Top 45,424

in Total Papers Citations

9

CROSSREF CITATIONS

10

Scholarly Papers (14)

1.

The Boy's Guide to Pricing & Hedging

Number of pages: 5 Posted: 17 Jan 2003
Emanuel Derman
Columbia University
Downloads 9,155 (1,206)

Abstract:

Loading...

quantitative finance, options, pricing, hedging, education

2.

The Financial Modelers' Manifesto

Number of pages: 2 Posted: 08 Jan 2009
Emanuel Derman and Paul Wilmott
Columbia University and John Wiley & Sons, Ltd. - Wilmott Magazine
Downloads 3,469 (6,291)
Citation 21

Abstract:

Loading...

financial models asset valuation

3.

Metaphors, Models & Theories

Number of pages: 14 Posted: 22 Nov 2010 Last Revised: 06 Dec 2010
Emanuel Derman
Columbia University
Downloads 2,606 (9,898)

Abstract:

Loading...

financial models, theories, valuation, pricing

4.

The Perception of Time, Risk and Return During Periods of Speculation

Number of pages: 37 Posted: 11 Jan 2002
Emanuel Derman
Columbia University
Downloads 2,388 (11,389)
Citation 8

Abstract:

Loading...

Risk, Return, Speculation, Capital Asset Pricing Model, Arbitrage Pricing Theory, Options Pricing, Skew, Smile, Intrinsic Time, Subordinated Processes, Internet stocks

5.

The Principles and Practice of Derivatives Price Verification

Number of pages: 8 Posted: 11 May 2001
Emanuel Derman
Columbia University
Downloads 2,191 (13,061)
Citation 2

Abstract:

Loading...

Derivatives, valuation, models, risk

6.

Cranks, Academics & Practitioners

Number of pages: 1 Posted: 23 Sep 2002
Emanuel Derman
Columbia University
Downloads 1,923 (16,025)

Abstract:

Loading...

Financial modeling, quantitative finance, physics, finance, derivatives

7.

The Great Pretender

Number of pages: 3 Posted: 31 Mar 2001
Emanuel Derman
Columbia University
Downloads 1,436 (25,152)

Abstract:

Loading...

Finance, theory, modeling, derivatives, science, physics

8.

Nine Billion Ways to Get Snowed

Number of pages: 2 Posted: 25 Oct 2002
Emanuel Derman
Columbia University
Downloads 1,196 (32,940)

Abstract:

Loading...

risk management, options, derivatives, financial modeling

9.

A Stylized History of Volatility

Forthcoming, Finance and Society, Vol 9, Issue 1, 2023.
Number of pages: 60 Posted: 21 Dec 2022
Emanuel Derman
Columbia University
Downloads 916 (48,052)

Abstract:

Loading...

Volatility, Options, Finance, Philosophy

10.

A Stochastic Model for Hedge Fund Relative Returns

Number of pages: 50 Posted: 14 May 2008 Last Revised: 22 Jun 2016
Emanuel Derman, Kun Soo Park and Ward Whitt
Columbia University, Columbia University and Columbia University
Downloads 532 (97,393)

Abstract:

Loading...

hedge funds, stochastic processes

11.

Trading Volatility

Posted: 13 Aug 2019
Emanuel Derman
Columbia University

Abstract:

Loading...

volatility, options

12.

A Simple Model for the Expected Premium for Hedge Fund Lockups

Journal of Investment Management, Vol. 5, No. 3, Third Quarter 2007
Posted: 22 Oct 2007
Emanuel Derman
Columbia University

Abstract:

Loading...

Hedge funds, valuation, lockups, asset pricing

13.

Static Options Replication

JOURNAL OF DERIVATIVES, Vol 2 No 4
Posted: 11 Nov 2000
Emanuel Derman, Deniz Ergener and Iraj Kani
Columbia University, Merrill Lynch and Samson Capital Advisors

Abstract:

Loading...

14.

Strike-Adjusted Spread: A New Metric for Estimating the Value of Equity Options

Posted: 06 Aug 1999
Joseph Zou and Emanuel Derman
Goldman Sachs Group, Inc. and Columbia University

Abstract:

Loading...