Q&A: Emanuel Derman on model risks, why quantitative finance is not a theory, and bailout ethics

A foothold in reality


Bookended by the publication of the Black-Scholes option pricing formula in 1973 and mass downgrades of collateralised debt obligations in 2007, quantitative finance enjoyed three-and-a-half decades of growing influence and credibility. Now, after the limitations of its models were exposed, the discipline faces scepticism from outsiders, and even insiders – such as Emanuel Derman, professor of professional practice at Columbia University – are calling for a fundamental rethink.

Derman describes

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: