Riding on a smile E Derman, I Kani Risk 7 (2), 32-39, 1994 | 1787* | 1994 |
A one-factor model of interest rates and its application to treasury bond options F Black, E Derman, W Toy Financial analysts journal 46 (1), 33-39, 1990 | 1524 | 1990 |
Mathematics of financial markets RJ Elliott, PE Kopp Springer Science & Business Media, 2005 | 886 | 2005 |
A guide to volatility and variance swaps. K Demeterfi, E Derman, M Kamal Journal of derivatives 6 (4), 9-32, 1999 | 552 | 1999 |
More than you ever wanted to know about volatility swaps K Demeterfi, E Derman, M Kamal, J Zou Goldman Sachs quantitative strategies research notes 41, 1-56, 1999 | 548 | 1999 |
Stochastic implied trees: Arbitrage pricing with stochastic term and strike structure of volatility E Derman, I Kani International journal of theoretical and applied finance 1 (01), 61-110, 1998 | 342 | 1998 |
The volatility smile and its implied tree E Derman, I Kani Goldman Sachs Quantitative Strategies Research Notes 2, 45-60, 1994 | 334 | 1994 |
Static options replication E Derman, D Ergener, I Kani Journal of Derivatives 2 (4), 2000 | 291 | 2000 |
The local volatility surface: Unlocking the information in index option prices E Derman, I Kani, JZ Zou Financial analysts journal 52 (4), 25-36, 1996 | 260 | 1996 |
My life as a quant: reflections on physics and finance E Derman John Wiley & Sons, 2016 | 255 | 2016 |
Regimes of volatility E Derman Risk, 55-59, 1999 | 245 | 1999 |
Model risk: What are the assumptions made in using models to value securities and what are the consequent risks? E Derman RISK-LONDON-RISK MAGAZINE LIMITED- 9, 34-38, 1996 | 177 | 1996 |
Flavor unification, τ decay, and b decay within the six-quark—six-lepton Weinberg-Salam model E Derman Physical Review D 19 (1), 317, 1979 | 160 | 1979 |
Models. Behaving. Badly.: Why confusing illusion with reality can lead to disaster, on wall street and in life E Derman Simon and Schuster, 2011 | 130 | 2011 |
Enhanced numerical methods for options with barriers E Derman, I Kani, D Ergener, I Bardhan Financial Analysts Journal 51 (6), 65-74, 1995 | 127 | 1995 |
Tests for a weak neutral current in l±+ N→ l±+ anything at high energy E Derman Physical Review D 7 (9), 2755, 1973 | 124 | 1973 |
The illusions of dynamic replication E Derman*, NN Taleb Quantitative finance 5 (4), 323-326, 2005 | 123 | 2005 |
Parity violating asymmetries in polarized electron scattering E Derman, WJ Marciano Annals of Physics 121 (1-2), 147-180, 1979 | 108 | 1979 |
The volatility smile E Derman, MB Miller John Wiley & Sons, 2016 | 101 | 2016 |
flavor dynamics and a bound on the number of flavors E Derman, HS Tsao Physical Review D 20 (5), 1207, 1979 | 100 | 1979 |