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Emanuel Derman delivers Thys Visser Commemorative Lectures
Author: Ronel Beukes
Published: 17/10/2018

The 2018 Thys Visser Commemorative Lecture Series kicked off on Monday night with a lecture, A Stylized History of Quantitative Finance, by Prof Emanuel Derman of Columbia University.

It was followed on Tuesday by the second in the series, Metaphors, Models, Data, Theories and Intuition and, on 18 October, by the third and last lecture, An Introduction to the Volatility Smile in Options Markets.

The biennial lecture series by leading international scholars are held in honour of the late Thys Visser, a dynamic business leader, alumnus of the Faculty of Economic and Management Sciences and strong supporter of Stellenbosch University.

Derman, who is best known for his work on the Black-Derman-Toy interest-rate model and for developing local volatility models of the implied volatility smile, is the Director: Master of Science Program in Financial Engineering at Columbia University's Industrial Engineering and Operations Research Department.

After obtaining a BSc (Hons) at the University of Cape Town, he received a PhD in theoretical physics from Columbia in 1973. He was named the IAFE/SunGard Financial Engineer of the Year 2000, and was elected to the Risk Hall of Fame in 2002.

Since 1995, Derman has written many articles pointing out the essential difference between models in physics and models in finance. Derman together with Paul Wilmott wrote the Financial Modelers' Manifesto, a set of principles for doing responsible financial modeling. He also wrote Models. Behaving. Badly. (published in 2011), and has published in several journals including the Financial Analysts JournalRISKThe Journal of Portfolio Management, and The Journal of Derivatives. His memoir, My Life as a Quant: Reflections on Physics and Finance, was published in 2004 and was selected as one of Business Week's top ten books of the year.

  • Photo (by Hennie Rudman):  With Prof Derman on the photo are (f.l.t.r.) Mrs Amanda Visser, Prof Ingrid Woolard (EMS Dean), and Mr Jannie Mouton of PSG who attended the first lecture.