WorldCat Identities

Derman, Emanuel

Overview
Works: 20 works in 89 publications in 5 languages and 2,002 library holdings
Genres: Biography 
Roles: Author
Publication Timeline
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Most widely held works by Emanuel Derman
The volatility smile by Emanuel Derman( )

13 editions published in 2016 in English and Undetermined and held by 250 WorldCat member libraries worldwide

"The Volatility Smile: An Introduction for Students and Practitioners The Black-Scholes-Merton options model was the greatest innovation of 20th Century finance, and remains the most widely applied theory in all of finance. Despite this success, the model is fundamentally at odds with the observed behavior of option markets: a graph of implied volatilities against strike will typically display a curve or skew, which practitioners refer to as the smile, and which the model cannot explain. Option valuation is not a solved problem, and the past forty years have witnessed an abundance of new models that try to reconcile theory with markets. The Volatility Smile presents a unified treatment of the Black-Scholes-Merton model and the more advanced models that have replaced it. It is also a book about the principles of financial valuation and how to apply them. Celebrated author and quant Emanuel Derman and Michael B. Miller explain not just the mathematics but the ideas behind the models. By examining the foundations, the implementation, and the pros and cons of various models, and by carefully exploring their derivations and their assumptions, readers will learn not only how to handle the volatility smile but how to evaluate and build their own financial models. Topics covered include: The principles of valuation Static and dynamic replication The Black-Scholes-Merton model Hedging strategies Transaction costs The behavior of the volatility smile Implied distributions Local volatility models Stochastic volatility models Jump-diffusion models"--
My life as a quant : reflections on physics and finance by Emanuel Derman( Book )

18 editions published between 2004 and 2013 in English and Chinese and held by 79 WorldCat member libraries worldwide

As investment firms increasingly rely on advanced quantitative financial models to generate profits, large "quant" departments staffed by former physicists, mathematicians, and computer scientists have become routine on Wall Street. This volume provides an inside look at life in the arcane world of quantitative finance
Models behaving badly : why confusing illusion with reality can lead to disaster, on Wall Street and in life by Emanuel Derman( Book )

18 editions published between 2011 and 2014 in English and held by 38 WorldCat member libraries worldwide

Though financial models imitate the style of physics and employ the language of mathematics, ultimately they deal with human beings. There is a fundamental difference between the aims and potential achievements of physics and those of finance. In physics, theories aim for a description of reality; in finance, at best, models can shoot only for a simplistic and very limited approximation to it. When we make a model involving human beings, we are trying to force the ugly stepsister's foot into Cinderella's pretty glass slipper. It doesn't fit without cutting off some of the essential parts. Physicists and economists have been too enthusiastic to acknowledge the limits of their equations in the sphere of human behavior which of course is what economics is all about. Models. Behaving. Badly includes a personal account of Derman's childhood encounters with failed models, the oppressions of apartheid and the utopia of the kibbutz. He describes his experience as a physicist on Wall Street, the models quants generated, the benefits they brought and the problems, practical and ethical, they caused. Derman takes a close look at what a model is, and then highlights the differences between the successes of modeling in physics and its failures in economics. Describing the collapse of the subprime mortgage CDO market in 2007, Derman urges us to stop the naïve reliance on these models, and offers suggestions for mending them. This is a fascinating, lyrical, and very human look behind the curtain at the intersection between mathematics and human nature
Models. Behaving. Badly warum die Verwechslung von Theorie und Wirklichkeit zum Desaster führt - im Leben und am Finanzmarkt by Emanuel Derman( Book )

2 editions published in 2013 in German and held by 20 WorldCat member libraries worldwide

In seinem Werk erklärt Emanuel Derman, warum Menschen anders - und zwar unvorhersehbar - agieren als Atome und Planeten und warum aus kleinen Irritationen, die sie verursachen, Chaos von gigantischen Ausmaßen entstehen kann. Finanzmodelle funktionieren nur unter eingeschränkten Bedingungen, nämlich wenn die Welt sich nicht allzu sehr verändert und nicht allzu weit von ihrem aktuellen Zustand abweicht. Und sie scheitern kläglich, sobald sie aus dem Ruder läuft. "Ihr iPad funktioniert, weil irgendjemand die Grundlagen der Quantenphysik verstanden hat und etwas bauen kann, das tut, was Sie wollen, wenn Sie einen Knopf drücken. Quantitative Finanzmarktanalysten benutzen die gleiche Art von Mathematik, um das eigenwillige Gebaren der internationalen Finanzmärkte zu beschreiben. In der Theorie sieht das alles schön überschaubar aus, doch in Wirklichkeit handelt es sich um eine vage Analogie, die in die Irre führt, weil sie behauptet, Aktienkurse verhalten sich wie die Ausbreitung von Dampf. Das ist keine Beschreibung der Wirklichkeit."
Kuan ke ren sheng : Hua'erjie de shu liang jin rong da shi by Emanuel Derman( Book )

1 edition published in 2007 in Chinese and held by 4 WorldCat member libraries worldwide

Shi ling : Wei shen me kan qi lai ke kao de mo xing zui zhong dou hui shi xiao = Models behaving badly by Emanuel Derman( Book )

2 editions published in 2013 in Chinese and held by 3 WorldCat member libraries worldwide

Ben shu jie shi le hua er jie yu jin rong mo xing jian de en en yuan yuan, Bing qie gao su wo men wei shen me mei you ren neng gou she ji chu bao han ren lei yi qie xing wei de mo xing, Gong fen wei san bu fen, Zhu yao nei rong bao kuo:mo xing, Mo xing biao xian, Mo xing sheng xiao deng
Models behaving badly : why confusing illusion with reality can lead to disasters, on Wall Street and in life by Emanuel Derman( Book )

3 editions published between 2011 and 2012 in English and held by 3 WorldCat member libraries worldwide

Models behaving badly : how confusing illusion with reality can lead to disaster, on Wall Street and in life by Emanuel Derman( Book )

2 editions published in 2011 in English and held by 3 WorldCat member libraries worldwide

Quants, physicists working on Wall street as quantitative analysts, have been widely blamed for triggering the recent financial crises with their complex mathematical models. Their formulas were meant to allow Wall street to prosper without risk. So what made these models so dangerous? In this penetrating, insider's look at the recent economic collapse, Emanuel Derman - former head quant at Goldman Sachs - explains the collision between mathematical modeling and economics that has touched every one of us. Though financial models imitate the style of physics and employ the language of mathematics, there is a fundamental difference between the aims and potential achievements of physics and those of finance. In physics, theories aim for a description of reality; in finance, models can shoot only for a limited approximation of reality. Derman uses his firsthand experience in financial theory and practice to explain the financial tangles that have paralyzed the economy. The Efficient Market Model, the Black-Scholes model, the Capital Asset Pricing Model: all are brilliantly translated here into human terms. Models. Behaving. Badly. exposes Wall Street's love affair with models, and shows us why nobody will ever be able to write a model that can encapsulate human behaviour
Butsurigakusha uōrugai o yuku : Kuontsu eno tenshin( Book )

2 editions published in 2005 in Japanese and held by 2 WorldCat member libraries worldwide

Kuan ke ren sheng : Cong wu li xue jia dao shu liang jin rong da shi de chuan qi = My life as a quant by Emanuel Derman( Book )

1 edition published in 2016 in Chinese and held by 2 WorldCat member libraries worldwide

Ben shu xu shu le de man cong wu li xue jia dao jin rong kuan ke de ren sheng kua yue, Ta ceng shi ai yin si tan, Xue ding e, Li zheng dao deng wu li xue ju jiang de men tu, Jin ru jin rong ling yu hou you yu zhong duo fen xi shi, Jiao yi yuan he ji jin jing li ren gong shi. Zuo zhe li tu bo kai zhong zhong mi wu, Tan suo wu li yu jin rong de xiang si zhi dao yu gui yi zhi chu, Jie ci rang du zhe cong ju nei ren de jiao du yi kui hua er jie de ling lei qun ti kuan ke men de ren sheng tu juan
A one-factor model of interest rates and its application to treasury bond options by Fischer Black( )

1 edition published in 1996 in English and held by 1 WorldCat member library worldwide

Forever hedged by Emanuel Derman( )

1 edition published in 1995 in English and held by 1 WorldCat member library worldwide

Implied trinomial trees of the volatility smile by Emanuel Derman( )

1 edition published in 1998 in English and held by 1 WorldCat member library worldwide

Stochastic implied trees: arbitrage pricing with stochastic term and stike structure of volatility by Emanuel Derman( )

1 edition published in 1998 in English and held by 1 WorldCat member library worldwide

Tests for a weak neutral current in l+N - l⁺₋+anything at high energy by Emanuel Derman( Book )

1 edition published in 1973 in English and held by 1 WorldCat member library worldwide

A one-factor model of interest rates and its applications to Treasury bond options by Fischer Black( Book )

1 edition published in 1988 in English and held by 1 WorldCat member library worldwide

Dalla fisica quantistica alla borsa : le meraviglie dei metodi quantitativi by Emanuel Derman( Book )

1 edition published in 2009 in Italian and held by 1 WorldCat member library worldwide

Riding on a smile by Emanuel Derman( )

1 edition published in 1995 in English and held by 1 WorldCat member library worldwide

ARM strategies for total return investors by K. Jeanne Person( Book )

1 edition published in 1988 in English and held by 1 WorldCat member library worldwide

 
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My life as a quant : reflections on physics and finance
Covers
Models behaving badly : why confusing illusion with reality can lead to disaster, on Wall Street and in lifeMy life as a quant : reflections on physics and finance
Alternative Names
Emanuel Derman Amerikaans econoom

Emanuel Derman economista sudafricano

Emanuel Derman économiste sud-africain

Emanuel Derman südafrikanischer Wirtschaftswissenschaftler und Physiker

Эммануэль Дерман

إيمانويل ديرمان عالم اقتصاد جنوب أفريقي

더만, 이매뉴얼

이매뉴얼 더만

エマニュエル・ダーマン

ダーマン, エマニュエル

伊曼纽尔·德曼

Languages