Emanuel Derman

Director of the financial engineering programme at Columbia University; earlier a physicist and head of quantitative strategies at Goldman Sachs.

My Life as a Quant describes how derivatives modelling was actually built on a trading floor, including the local volatility model Derman developed with Iraj Kani to fit the smile left after 1987. Models.Behaving.Badly states the limit of that work directly: financial models are approximations fitted to human behaviour, not physical laws, and treating them as laws is a specific way to lose money.

2 books of their own