Emanuel Derman | Academic Influence

Why Is Emanuel Derman Influential?

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According to Wikipedia, Emanuel Derman is a South African-born academic, businessman and writer. He is best known as a quantitative analyst, and author of the book My Life as a Quant: Reflections on Physics and Finance. He is a co-author of Black–Derman–Toy model, one of the first interest-rate models, and the Derman–Kani local volatility or implied tree model, a model consistent with the volatility smile.

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Emanuel Derman's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Papers

A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options (1990) (925)
A Guide to Volatility and Variance Swaps (1999) (436)
More than You ever Wanted to Know about Volatility Swaps (1999) (355)
STOCHASTIC IMPLIED TREES: ARBITRAGE PRICING WITH STOCHASTIC TERM AND STRIKE STRUCTURE OF VOLATILITY (1998) (273)
Static Options Replication (1995) (206)
Implied Trinomial Tress of the Volatility Smile (1996) (106)
Enhanced Numerical Methods for Options with Barriers (1995) (73)
My Life as a Quant: Reflections on Physics and Finance (2004) (55)
The perception of time, risk and return during periods of speculation (2002) (54)
Flavor unification, tau decay, and b decay within the six-quark--six-lepton Weinberg-Salam model (1979) (52)
Parity violating asymmetries in polarized electron scattering (1979) (45)
The Financial Modelers' Manifesto (2009) (43)
(SU/sub 2/ x U/sub 1/) x S/sub n/ flavor dynamics and a bound on the number of flavors (1979) (39)
Models.Behaving.Badly.: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life (2011) (31)
Laughter in the Dark-The Problem of the Volatility Smile (2003) (29)
Beware of Economists Bearing Greek Symbols (2005) (27)
Tests for a weak neutral current in l+- n ---> l+- anything at high energy (1973) (16)
Strike-Adjusted Spread: A New Metric for Estimating the Value of Equity Options (1999) (15)
Electron-Muon Permutation Symmetry and Multiplicatively Conserved Lepton Number in Gauge Theories (1977) (15)
Persistent threshold effects characterizing dimuon and hadron distributions due to charmed particle production by neutrinos (1976) (15)
Dimuon pairs as a signal for neutral heavy-lepton production (1975) (13)
A simple equation solver and its application to financial modelling (1984) (11)
Spontaneously broken e-μ-τ symmetry and rare τ decays☆ (1978) (11)
The Volatility Smile (2016) (9)
Valuing Models and Modeling Value (1996) (8)
Parity violation in polarized-electron—deuteron scattering without the parton model (1979) (7)
Metaphors, Models & Theories (2010) (7)
Composite quarks and leptons and the Higgs boson mass (1980) (6)
A Guide for the Perplexed Quant (2000) (6)
$mu$$sup +$$mu$$sup -$ distributions from the production of a new hadron in neutrino scattering (1975) (5)
HEQS — A hierarchical equation solver (1985) (5)
A stochastic-difference-equation model for hedge-fund returns (2010) (4)
A Simple Model for the Expected Premium for Hedge Fund Lockups (2007) (4)
Reflections on Fischer (1996) (3)
A STOCHASTIC-DIFFERENCE-EQUATION MODEL FOR HEDGE-FUND RELATIVE RETURNS (2009) (3)
Unruly humans vs the lust for order (2011) (3)
Dynamical model for light composite fermions (1981) (3)
Trading Volatility (2019) (2)
The Principles and Practice Of Verifying Derivatives Prices (2001) (2)
Financial engineering at Columbia University (2012) (1)
Difficulties in detecting a T-violating charmed weak current in neutrino scattering (1976) (1)
Principles of Financial Engineering (a review) (2005) (1)
Reshaping Equity Returns Using Options (1997) (1)
11. The Right Way to Use Models (2019) (1)
The Great Pretender (2001) (1)
PDF) Guess My Number Game Riddles (PDF) 1953 Chrysler Windsor Engine Wiring Diagrams (PDF) Contemporary Abstract Algebra Gallian Solutions Manual (PDF) Cocaine An Unauthorized Biography Dominic Streatfeild (PDF) Modelsbehavingbadly Why Confusing Illusion With Reality Can Lead To Disaster On (2016) (1)
The P&L of Hedged Option Strategies in a Black-Scholes-Merton World (2016) (0)
Nine Billion Ways to Get Snowed (2002) (0)
Qualitative & Quantitative Derivatives Risk Management (2001) (0)
Jump-Diffusion Models of the Smile: Introduction (2016) (0)
Variance Swaps: A Lesson in Replication (2016) (0)
A Stochastic Model for Hedge Fund Relative Returns (2008) (0)
Static and Dynamic Replication (2016) (0)
Cranks, Academics & Practitioners (2002) (0)
ロ-カル・ボラティリティ曲面--指数オプション価格に含まれる情報 (1998) (0)
The Smile: Stylized Facts and Their Interpretation (2016) (0)
Implied Distributions and Static Replication (2016) (0)
POWs: Physicists on Wall Street (2006) (0)
Remembering Mark Rubinstein (2019) (0)
Some Final Remarks on Local Volatility Models (2016) (0)
Local Volatility Models: Hedge Ratios and Exotic Option Values (2016) (0)
Patterns of Volatility Change (2016) (0)
Stochastic Volatility Models: The Smile with Mean Reversion and Correlation (2016) (0)
Heavy neutral leptons as a source of dimuons in neutrino scattering (1975) (0)
MASSIVE MUON PAIR PRODUCTION IN HADRON--HADRON COLLISIONS. (1972) (0)
Answers to End-of-Chapter Problems (2016) (0)
Tests for a weak neutral current in l$sup +-$ + N $Yields$ l$sup +-$ + anything at high energy (1972) (0)
The Principle of Replication (2016) (0)
Feynman And Freud, What Graduate Schools Do Not Teach You (2005) (0)
About Volatility Swaps (1999) (0)
Models (2009) (0)
Variance Swap Piecewise-Linear Replication (2016) (0)
The Binomial Model and its Extensions (2016) (0)
The Effect of Discrete Hedging on P&L (2016) (0)
A Survey of Smile Models (2016) (0)
Some Useful Derivatives of the Black‐Scholes‐Merton Model (2016) (0)
A Stylized History of Volatility (2022) (0)
The Boy's Guide to Pricing & Hedging (2002) (0)
The Legacy of Fischer Black (a review) (2006) (0)
Consequences of Local Volatility Models (2016) (0)
The Principles and Practice of Derivatives Price Verification (2001) (0)
Local Volatility Models (2016) (0)
Weak Static Replication (2016) (0)
Approximate Solutions to Some Stochastic Volatility Models (2016) (0)
Introduction: New Systemic Risks (2016) (0)
Auto-Stati for the People : Risk-Minimizing Hedges (2009) (0)
No-Arbitrage Bounds on the Smile (2016) (0)
Stochastic Volatility Models: The Smile for Zero Correlation (2016) (0)
Knowing the World (2013) (0)
The Effect of Transaction Costs on P&L (2016) (0)
Introducing Stochastic Volatility Models (2016) (0)
Acceptance Speech on Receipt of Financial Engineer of the Year Award (2000) (0)
Heavy neutral lepton as a source of dimuons in high-energy neutrino scattering (1975) (0)

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