• Black, F., E. Derman & W. Toy ."A One-Factor Model of Interest Rates and ItsApplication to Treasury Bond Options." Financial Analysts Journal, (Jan-Feb1990), pp. 33-39.
• Derman, E. & I. Kani. "Riding on a Smile." RISK, 7(2) Feb.1994, pp. 139-145, pp. 32-39.
• Derman, E., D. Ergener & I. Kani. "Forever Hedged." RISK, 7(9) Sep. 1994, pp. 139-145.
• Derman, E., I. Kani, D. Ergener & I. Bardhan. "Enhanced Numerical Methods for Options with Barriers." Financial Analysts Journal, (Nov-Dec 1995), pp. 65-74.
• Derman, E. "Valuing Models and Modeling Value." The Journal of Portfolio Management, 22(3) (Spring 1996), 106-114.
• Derman, E. "Outperformance Options." In I. Nelken, ed., The Handbook of Exotic Options, Irwin, 1996.
• Derman, E., D. Ergener & I. Kani. "Static Options Replication." The Journal of Derivatives, 2(4) (Summer 1995), pp. 78-95.
• Derman, E., I. Kani & N. Chriss. "Implied Trinomial Trees of the Volatility Smile." The Journal of Derivatives, 3(4) (Summer 1996), pp. 7-22.
• Derman, E. "Model Risk." RISK, 9(5) May 1996, pp. 139-145, pp. 34-37.
• Derman, E. I Kani & J. Z. Zou. "The Local Volatility Surface: Unlocking the Information in Index Options Prices." Financial Analysts Journal, (July-Aug 1996), pp. 25-36.
• Derman, E. "Reflections on Fischer." The Journal of Portfolio Management, Special Issue (December 1996), 18-24.
• Derman, E. & I. Kani. "The Ins and Outs of Barrier Options: Part 1." Derivatives Quarterly, 3(2) (Winter 1996) pp. 55-67
• Derman, E. & I. Kani. "The Ins and Outs of Barrier Options: Part 2." Derivatives Quarterly, 3(3) (Spring 1997) pp. 73-80
• Zurack, Mark A., E. Derman, J.M. Hill & I. Kani, "Reshaping Equity Returns Using Options," The Journal of Investing, 6(1) (Spring 1997) pp. 34-39.
• The World According to Emanuel Derman, interview in Derivatives Strategy, March 1997, vol 2, No. 3
• Zou, Joseph Z and E. Derman, "Monte Carlo Valuation of Path-Dependent Options on Indexes with a Volatility Smile," The Journal of Financial Engineering, 6(2) (June 1997) pp. 149-168.
• Derman, E ."Review of 'Derivative Securities' by Robert Jarrow and Stuart Turnbull,", RISK, 10(6) Jun. 1997, p. 75
• Derman, E, I Kani and M. Kamal, "Trading and Hedging Local Volatility," The Journal of Financial Engineering, 6(3) (September 1997) pp. 1233-268.
• Derman, E. "The Future of Modeling," RISK, 10(12) Dec. 1997, pp. 164-167.
• Derman, E. and I Kani, "Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility", International Journal of Theoretical and Applied Finance, 1(1) Jan. 1998, pp.61-110.
• Derman, E. "Fischer Black Remembered". RISK, 11(8) Aug. 1998, pp. 18-19.
• Kamal, M and E. Derman. "Correcting Black-Scholes." RISK, 12(1) Jan.1999, pp. 82 - 85.
• E. Derman. "Regimes of Volatility." RISK, April 1999.
• Derman, E, P. Karasinski & J. Wecker. "Understanding Guaranteed-Exchange-Rate Options." in Currency Derivatives (Wiley, October 1998), edited by David De Rosa.( This contribution is a reprint of a much earlier 1990 Quantitative Strategies Research Note on quanto options written
  in early 1990.)
• Demeterfi, K, E. Derman, M. Kamal and J. Zou. "A Guide to Variance Swaps" RISK, 12(6) Jun.1999, pp.54 - 59.
• Demeterfi, K, E. Derman, M. Kamal and J. Zou. "A Guide to Volatility and Variance Swaps" The Journal of Derivatives, 6(4) Summer 1999, pp 9 - 32.
• E. Derman, “Acceptance Speech on Receipt of Financial Engineer of the Year Award” Journal of Derivatives 8(2) (Winter 2000), pp. 55-57.
• E. Derman, “A Guide for the Perplexed Quant” Journal of Derivatives 8(2) (Winter 2000), pp. 58-64.
• E. Derman. “The Great Pretender.” Derivatives Strategy, March 2001.
• E. Derman. “Markets and Models.” RISK, 14(7), July 2001, pp. 48-50.Joseph Zou and Emanuel Derman.
• E. Derman “Strike-adjusted spread: a new metric for estimating the value of equity options.” in Mastering Risk, Volume 2: Applications, ed. Carol Alexander, Financial Times/Prentice Hall, 2001, pp. 39-56.
• E. Derman. “A guide for the perplexed quant.” Quantitative Finance, 1,5(Sep. 2001), 476-480.
• E. Derman, “Nine Billion Ways to Get Snowed,” RISK, 15(6), June 2002, pp.81-2.
• E. Derman, “The perception of time, risk and return during periods of speculation,” Quantitative Finance 2(4), August 2002, pp. 282-296.
• E. Derman, “Cranks, academics and practitioners,” RISK 15(9), September 2002, p. 120.
• E. Derman, "The boy's guide to pricing and hedging," RISK 16(1), January 2003, pp 70 - 72.
• E. Derman, “The Master Agreement”. RISK, April 2003
• E. Derman “What quants don’t learn at college,” RISK, June 16(7), July 2003, pp 50-1.
  ____________________________
  

Related Articles

• “The World According to Emanuel Derman," Derivatives Strategy. March 1997 . © Copyright 1997 by Derivatives Strategy & Tactics Inc.
• Gary Stix,. "A Calculus of Risk". Scientific American, May 1998. , pp. 92-97.
          (This is an article which prominently features some of the volatilility research done at Goldman Sachs and Co.)
  

Goldman Sachs Selected Quantitative Strategies Reports

• Valuing Parisian Options Emanuel Derman, Kresimir Demeterfi and Joseph Zou. November 10, 1999
• Strike-Adjusted Spread: A New Metric For Estimating The Value of Equity Options Joseph Zou and Emanuel Derman. July 7, 1999
• More Than You Ever Wanted to Know About Volatility Swaps Kresimir Demeterfi, Emanuel Derman, Michael Kamal and Joseph Zou. March 8, 1999
• Regimes of Volatility Some Observations on the Variation of S&P 500 Implied Volatilities Emanuel Derman. January 1999.
• Predicting the Response of Implied Volatility to Large Index Moves: An October 1997 S&P 500 Case Study Emanuel Derman and Joseph Zou. November 1997
• The Patterns of Change in Implied Index Volatilities Emanuel Derman and Michael Kamal. September 1997
• Valuing Options on Periodically-Settled Stocks Global Derivatives Quarterly Review (excerpt). July 1997
• Is the Volatility Skew Fair? Emanuel Derman, Michael Kamal, Iraj Kani and Joseph Zou. April 1997
• Investing in Volatility Emanuel Derman, Michael Kamal, Iraj Kani, John McClure, Cyrus Pirasteh and Joseph Zou. October 1996.
• Trading and Hedging Local Volatility Iraj Kani, Emanuel Derman and Michael Kamal. August 1996
• Valuing Contracts with Payoffs Based on Realized Volatility Global Derivatives Quarterly Review (excerpt) . July 1996
• Model Risk Emanuel Derman. April 1996
• Implied Trinomial Trees of the Volatility Smile Emanuel Derman, Iraj Kani and Neil Chriss. February 1996
• The Local Volatility Surface - Unlocking the Information in Index Option Prices Emanuel Derman, Iraj Kani and Joseph Zou. December 1995
• Valuing Guaranteed Exchange Rate Contracts Global Derivatives Quarterly Review (excerpt). October 1995
• Enhanced Numerical Methods for Options with Barriers Emanuel Derman, Iraj Kani, Deniz Ergener and Indrajit Bardhan. May 1995
• Valuing Convertible Bonds as Derivatives November 1994
• Static Options Replication Emanuel Derman, Deniz Ergener and Iraj Kani. May 1994
• The Volatility Smile and Its Implied Tree Emanuel Derman and Iraj Kani. January 1994
• The Ins and Outs of Barrier Options Emanuel Derman and Iraj Kani
• Pay-On-Exercise Options Emanuel Derman and Iraj Kani. March 1992
• Valuing and Hedging Outperformance Options Emanuel Derman. January 1992
• Understanding Guaranteed-Exchange-Rate Options Emanuel Derman, Piotr Karasinski and Jeffrey Wecker, March 1990