Emanuel Derman

Columbia University

Professor

3022 Broadway

New York, NY 10027

United States

http://www.emanuelderman.com

  • Columbia University

    • Email
    • Tel: 212 854 9883
SCHOLARLY PAPERS

14

DOWNLOADS
Rank 2,524

SSRN RANKINGS

Top 2,524

in Total Papers Downloads

27,253

TOTAL CITATIONS
Rank 48,837

SSRN RANKINGS

Top 48,837

in Total Papers Citations

34

Scholarly Papers (14)

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1.

The Boy's Guide to Pricing & Hedging

Number of pages: 5 Posted: 17 Jan 2003
Emanuel Derman
Columbia University
Downloads 9,655 (1,296)

Abstract:

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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 3,795 (6,350)
Citation 23

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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 2,738 (10,684)

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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 2,418 (13,027)
Citation 9

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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 2,218 (14,962)
Citation 2

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Derivatives, valuation, models, risk

6.

Cranks, Academics & Practitioners

Number of pages: 1 Posted: 23 Sep 2002
Emanuel Derman
Columbia University
Downloads 2,009 (17,527)

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Financial modeling, quantitative finance, physics, finance, derivatives

7.

The Great Pretender

Number of pages: 3 Posted: 31 Mar 2001
Emanuel Derman
Columbia University
Downloads 1,452 (28,933)

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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 1,215 (37,479)

Abstract:

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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 1,205 (37,970)

Abstract:

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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 548 (109,584)

Abstract:

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hedge funds, stochastic processes

11.

Trading Volatility

Posted: 13 Aug 2019
Emanuel Derman
Columbia University

Abstract:

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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

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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

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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

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