Peter Carr Brooklyn Quant Experience (BQE) Seminar Series: Emanuel Derman

We are excited to welcome Emanuel Derman, professor at Columbia University, who will present the following talk on Thursday, September 22nd at 6 pm in the Event MakerSpace, 6 Metrotech Center, 1st Floor.

Title

A Stylized History of Quantitative Finance

Abstract

The evolution of a quantitative approach to finance has proceeded through many small but significant steps and occasional large epiphanies. This talk outlines how, over the past 70 years, financial models have quantified the notion of derivatives, diffusion, risk, volatility, the riskless rate, diversification, hedging, replication, and the principle of no riskless arbitrage.

Bio

Emanuel Derman is a professor at Columbia University, where he directs their program in financial engineering. He was born in South Africa but has lived most of his professional life in Manhattan. He started out as a theoretical physicist, doing research on unified theories of elementary particle interactions. At AT&T Bell Laboratories in the 1980s, he developed programming languages for business modeling. From 1985 to 2002 he worked on Wall Street where he co-developed the Black-Derman-Toy interest rate model and the local volatility model. 

He is the author of The Volatility Smile (Wiley), Models.Behaving.Badly (Free Press 2011) is one of Business Week’s top ten books of 2011. He is also the author of My Life As A Quant (Wiley 2004), also one of Business Week's top ten of 2004, in which he introduced the quant world to a wide audience.