Emanuel Derman makes a very welcome appearance on the latest episode of the CQF Institute podcast, QuantSpeak. Hosted by Wilmott Editor, Dan Tudball, the episode delves deep into Derman’s fascinating journey from a Polish-Jewish community in Cape Town to the financial world of Wall Street.
About the episode
QuantSpeak listeners are in for a treat in this episode as Derman discusses his upcoming memoir, Brief Hours and Weeks: My Life as a Capetonian, which will be released later this year. Influenced by the writing style of South African and Australian novelist, J. M. Coetzee, the memoir explores the formative years of Derman’s life growing up in an immigrant Jewish community cloistered in Cape Town between the late 40s and early 60s. Derman and Tudball discuss the impact and lessons that Derman has taken from those early years and their role in his later life and career.
During the discussion, Derman also takes us back to his arrival in New York in 1966, a pivotal moment that set the stage for his illustrious career. He received his Ph.D. in theoretical physics in 1973 and initially struggled to find jobs and gain tenure in academic roles, despite his passion for the field. His transition to finance began in 1985 when he joined Goldman Sachs, marking the start of a groundbreaking career in financial modeling.
One of the highlights of the episode is Derman’s reflections on his influential work in financial modeling. Listeners will gain valuable insights into the creation and impact of the Black-Derman-Toy model, a groundbreaking interest rate model he originally thought would become a general theory for all fixed income. Derman describes how, interestingly, it was the legendary Fisher Black who was more certain that each sector would have its own model, and that there would be no overarching theory. Derman also discusses the Derman-Kani model, a local volatility model that has become an essential tool in quantitative finance. His insider’s perspective on these models’ development and significance is truly enlightening.
Derman also shares anecdotes from his collaboration with Fisher Black, co-creator of the Black-Scholes option pricing model. Their partnership was instrumental in advancing the field of quantitative finance, and Derman’s reflections on their work together offer a rare glimpse into the minds of two of finance’s most innovative thinkers.
Where can you listen?
Don’t miss this opportunity to hear from one of the foremost thinkers in financial engineering. Listen to the episode now on QuantSpeak’s official page or your favorite podcast platform. Be sure to subscribe to stay updated on future episodes featuring thought leaders in quantitative finance.
