Author

Emanuel Derman

Observed names: Derman, Emanuel, E. Derman, E. derman, EMANUEL DERMAN, Emanuel Derman *

Observed institutions: AT&T (United States), University of Colorado Boulder, University of Oxford, Goldman Sachs (United States), Columbia University, University of Pennsylvania, Rockefeller University

OpenAlex ID: A5006956204

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

1990 · Fischer Black, Emanuel Derman, et al. · Financial Analysts Journal · 978

A Guide to Volatility and Variance Swaps

1999 · Kresimir Demeterfi, Emanuel Derman, et al. · The Journal of Derivatives · 440

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

1998 · Emanuel Derman, Iraj Kani · International Journal of Theoretical and Applied Finance · 256

Static Options Replication

1995 · Emanuel Derman, Deniz Ergener, et al. · The Journal of Derivatives · 191

Implied Trinomial Tress of the Volatility Smile

1996 · Emanuel Derman, Iraj Kani, et al. · The Journal of Derivatives · 142

The Local Volatility Surface: Unlocking the Information in Index Option Prices

1996 · Emanuel Derman, Iraj Kani, et al. · Financial Analysts Journal · 132

Flavor unification, τ decay, and b decay within the six-quark—six-lepton Weinberg-Salam model

1979 · Emanuel Derman · Physical review. D. Particles, fields, gravitation, and cosmology/Physical review. D. Particles and fields · 91

The volatility smile [an introduction for students and practitioners]

2016 · Derman, Emanuel, Miller, Michael B. 1973-, et al. · 85

[SU2×U1]×Sn flavor dynamics and a bound on the number of flavors

1979 · Emanuel Derman, Hung-Sheng Tsao · Physical review. D. Particles, fields, gravitation, and cosmology/Physical review. D. Particles and fields · 72

The illusions of dynamic replication

2005 · Emanuel Derman *, Nassim Nicholas Taleb · Quantitative Finance · 68

Models.Behaving.Badly.: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life

2011 · Emanuel Derman · 66

Parity violating asymmetries in polarized electron scattering

1979 · Emanuel Derman, William J Marciano · Annals of Physics · 66

My Life as a Quant: Reflections on Physics and Finance

2004 · Emanuel Derman · 63

Enhanced Numerical Methods for Options with Barriers

1995 · Emanuel Derman, Iraj Kani, et al. · Financial Analysts Journal · 60

The perception of time, risk and return during periods of speculation

2002 · Emanuel Derman · Quantitative Finance · 54

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Dimuon Pairs as a Signal for Neutral Heavy-Lepton Production

1975 · Lay Nam Chang, Emanuel Derman, et al. · Physical Review Letters · 44

The Financial Modelers' Manifesto

2009 · Emanuel Derman, Paul Wilmott · SSRN Electronic Journal · 42

Tests for a Weak Neutral Current in l±+N→l±+Anything at High Energy

1973 · Emanuel Derman · Physical review. D. Particles, fields, gravitation, and cosmology/Physical review. D. Particles and fields · 40

Beware of Economists Bearing Greek Symbols

2005 · Emanuel Derman · Harvard business review · 28

Persistent threshold effects characterizing dimuon and hadron distributions due to charmed particle production by neutrinos

1976 · Emanuel Derman · Nuclear Physics B · 28

Spontaneously broken e-μ-τ symmetry and rare τ decays

1978 · Emanuel Derman · Physics Letters B · 27

6. Remarks on Financial Models

2016 · Emanuel Derman · University of Chicago Press eBooks · 26

Electron-muon permutation symmetry and multiplicatively conserved lepton number in gauge theories

1977 · Emanuel Derman, D.R.Timothy Jones · Physics Letters B · 22

A Simple Model for the Expected Premium for Hedge Fund Lockups

2006 · Emanuel Derman · SSRN Electronic Journal · 21

Heavy neutral lepton as a source of dimuons in high-energy neutrino scattering

1975 · Lay Nam Chang, Emanuel Derman, et al. · Physical review. D. Particles, fields, gravitation, and cosmology/Physical review. D. Particles and fields · 19

Works count: 115

Citation count: 3,238

H-index: 22

I10-index: 33