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Author: Emanuel Derman

Investing in Volatility

Published in Futures and Options World 1998 Special Supplement on the 25th Annivesary of the Publication of the Black-Scholes Model In the beginning was the bond,…

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A Calculus of Risk

Scientific American, May 1998 ScientificAmerican Months before El Niño driven storms battered the Pacific Coast of the U.S., the financial world was making its own…

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Model Risk

(RISK, 9-5 May 1996, pp. 139-145, pp. 34-37) Model Risk – FULL This report analyzes the assumptions and risks involved in using models to value…

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Outperformance Options

To me, outperformance options1 are especially interesting because of the alternating layers of complexity and simplicity you discover as you probe more deeply into their…

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