Skip to content →

Financial Engineer of the Year

NEW YORK, September 7, 2000

SunGard Trading and Risk Systems and the International Association of Financial Engineers (IAFE) today announced that Emanuel Derman has been named the 2000 IAFE/SunGard Financial Engineer of the Year. The award will be presented to Derman on October 12th at the IAFE 2000 Annual conference and dinner in New York City.

The IAFE/SunGard Financial Engineer of the Year Award was established in 1993 and has been given annually ever since. The award recognizes those individuals who have made a significant contribution in the advancement of financial engineering technology. Nominations for the IAFE/SunGard Financial Engineer of the Year Award are submitted by the 2,000 members of IAFE. This year’s selection committee was chaired by John C. Cox, Nomura Professor of Finance at MIT and Senior Fellow of the IAFE.

Dr. Derman, managing director at Goldman, Sachs & Co. said, I’m very happily surprised and honored to receive this award from the IAFE and Sungard. I’ve always tried to find the right mixture of academic rigor and practitioner intuition with which to understand and then explain the behavior of volatility instruments to people that work with them. I’m very grateful to my co-workers in these efforts at Goldman, Sachs & Co. – first the late Fischer Black, and then, among others, Iraj Kani, Michael Kamal, Joe Zou and Kresimir Demeterfi. I’m also grateful for Goldman’s research-friendly culture.”

Jim Ashton, chief executive officer of SunGard Trading and Risk Systems said, “Dr. Derman is very highly regarded within the industry for his ability to bridge the gap between academic financial modelling and practical application. SunGard has always held financial engineering to be of utmost importance and we use some of Dr. Derman’s models in our own software, such as the Black-Derman-Toy model for options. The work of Dr. Derman is an inspiration to all financial engineers, and SunGard is delighted to be able to present Dr. Derman with this much-deserved award. ”

Tanya Styblo Beder, Chairman of the IAFE stated “We congratulate Dr. Derman on this lifetime accomplishment. The Board of the IAFE is delighted to welcome such an outstanding practitioner of financial engineering to the group of winners. Especially notable are Dr. Derman’s contributions in demystifying complex aspects of derivatives instruments and strategies.”

Biographical Information on Emanuel Derman

Emanuel Derman is currently a managing director at Goldman, Sachs & Co. where he heads the derivatives analysis group in firm-wide risk. Over the past 15 years he has led several quantitative and risk technology areas of Goldman Sachs, involving many areas of the global capital markets from equities to fixed income and from vanilla to exotic derivatives. Dr. Derman spent a period at Salomon Brothers as head of adjustable-rate mortgage research in the bond portfolio analysis group.

Dr. Derman was born in South Africa. He obtained a B.Sc. (Hons) in Applied Mathematics and Theoretical Physics at the University of Cape Town, South Africa and a Ph.D. in Theoretical Particle Physics from Columbia University in1973. He performed postdoctoral research in Particle Physics at the University of Pennsylvania, Oxford University and The Rockefeller University. He then taught physics at the University of Colorado, Boulder, and joined the technical staff at AT&T Bell Laboratories where he developed and did research on high-level computer languages for modeling. Dr. Derman joined Goldman Sachs in 1985.

Dr.Derman, along with Fischer Black and Bill Toy, developed the Black-Derman-Toy interest-rate options model in 1987. He is the author or co-author of numerous financial publications, including “A One-Factor Model of Interest Rates and its Application to Treasury Bond Options,” “Understanding Guaranteed Exchange-Rate Options,” “Enhanced Numerical Methods for Options with Barriers,” “Static Options Replication,” “The Volatility Smile and Its Implied Tree,” “The Local Volatility Surface,” “Outperformance Options,” “Model Risk,” “Stochastic Implied Trees,” “Regimes of Volatility,” “A Guide to Volatility and Variance Swaps” and others. Dr. Derman has further contributed to the field of financial engineering by authoring numerous publications to explain complex quantitative concepts and examine their application.

Dr. Derman resides on the Upper West Side of Manhattan with his wife Eva, a molecular biologist and member of the Public Health Research Institute in New York City. They have two children: Joshua, who holds a B.A. in Philosophy from Harvard University and is currently working at the Jewish Museum in Berlin, and Sonya, a junior at The Dalton School in New York City.

Previous Award Recipients

Dr. Derman joins a prestigious list of recipients of the IAFE/SunGard Financial Engineer of the Year Award. They include: John Hull, Professor of Finance in the Joseph L. Rotman School of Management at the University of Toronto. John C. Cox, Nomura Professor of Finance at the Massachusetts Institute of Technology; Robert Merton, a Nobel Memorial Prize winner in Economic Sciences; Fischer Black, the co-developer of the Black-Scholes formula which is widely used to value stock options in markets throughout the world; Mark Rubinstein, who is best known for his work on the Cox-Ross-Rubinstein binomial option pricing approach and his work on exotic options; Stephen Ross, the originator of the Arbitrage Pricing Theory and the co-discoverer of risk neutral pricing and of the binomial model for pricing derivatives; and Robert Jarrow, who is currently engaged in research relating to the pricing of credit derivatives and exotic options and was the 1993 Mobil scholar.

About the International Association of Financial Engineers (IAFE)

The IAFE is a global organization devoted to defining and fostering the profession of financial engineering. The IAFE publishes the Journal of Derivatives which represents a merger with the IAFE’s former publication the Journal of Financial Engineering, a quarterly devoted to the study of the many aspects of derivatives and financial engineering. Past issues have carried articles by such luminaries as Nobel Laureates Harry Markowitz and the late Merton Miller. Articles are drawn from across the financial engineering spectrum – new products, case studies, quantitative techniques, technology, wireless and e-commerce, regulation, etc.

Collaboration and networking between academics and practitioners are major objectives of the IAFE. After spending almost a decade on its founding mission – to define and foster the emerging field of financial engineering – the Association turned its focus towards the established sectors of the field and another of the IAFE’s missions – to promote informed exchanges among members to further understanding, share best practices and establish standards on pertinent aspects of technology, credit risk, the impact of e-commerce, legal, regulation, risk management, tax, and accounting. Education is a major component of the IAFE’s mission. The IAFE sponsors numerous sessions where new products, strategies, quantitative finance and technologies are discussed among practitioners and academics and where public policy issues are debated. Visit IAFE at…

About SunGard

SunGard (NYSE: SDS) is a global leader in integrated IT solutions and eProcessing for financial services. SunGard is also the pioneer and a leading provider of high-availability infrastructure for business continuity. With annual revenues in excess of $1 billion, SunGard serves more than 10,000 clients in over 50 countries, including 47 of the world?s 50 largest financial services institutions.

Visit SunGard at….

Published in Finance