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Back in the 90's, Goldman Sachs (publicly?) released a series called "Quantitative Strategies Research Notes" — mostly technical papers on topic. Emanuel Derman co-authored almost all of them.

Some of them are available online:

But 15 more papers are apparently missing.

Did anyone see them published, perhaps, as a book? Or just a comprehensive collection?

References

This is the latest list of the publications that I took from a late 1999 paper:

  • Understanding Guaranteed Exchange-Rate Contracts In Foreign Stock Investments. Emanuel Derman, Piotr Karasinski and Jeffrey Wecker
  • Valuing and Hedging Outperformance Options. Emanuel Derman
  • Pay-On-Exercise Options. Emanuel Derman and Iraj Kani
  • The Ins and Outs of Barrier Options. Emanuel Derman and Iraj Kani
  • The Volatility Smile and Its Implied Tree. Emanuel Derman and Iraj Kani
  • Static Options Replication. Emanuel Derman, Deniz Ergener and Iraj Kani
  • Enhanced Numerical Methods for Options with Barriers. Emanuel Derman, Iraj Kani, Deniz Ergener and Indrajit Bardhan
  • The Local Volatility Surface: Unlocking the Information in Index Option Prices. Emanuel Derman, Iraj Kani and Joseph Z. Zou
  • Implied Trinomial Trees of the Volatility Smile. Emanuel Derman, Iraj Kani and Neil Chriss
  • Model Risk. Emanuel Derman,
  • Trading and Hedging Local Volatility. Iraj Kani, Emanuel Derman and Michael Kamal
  • Investing in Volatility. Emanuel Derman, Michael Kamal, Iraj Kani, John McClure, Cyrus Pirasteh and Joseph Zou
  • Is the Volatility Skew Fair? Emanuel Derman, Michael Kamal, Iraj Kani and Joseph Zou
  • Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility. Emanuel Derman and Iraj Kani
  • The Patterns of Change in Implied Index Volatilities. Michael Kamal and Emanuel Derman
  • Predicting the Response of Implied Volatility to Large Index Moves: An October 1997 S&P Case Study. Emanuel Derman and Joe Zou
  • How to Value and Hedge Options on Foreign Indexes. Kresimir Demeterfi
  • Regimes of Volatility: Some Observations on the Variation of S&P 500 Implied Volatilities. Emanuel Derman
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  • $\begingroup$ GSAM also published a book on asset management to compete with Barclay's Global Investors(now BlackRock), amazon.com/Modern-Investment-Management-Equilibrium-Approach/dp/… $\endgroup$
    – pyCthon
    Jun 18, 2015 at 22:11
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    $\begingroup$ Anton I edited the question by inserting the moneyscience link in which should be listed all references! $\endgroup$
    – Quantopik
    Jun 18, 2015 at 22:20
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    $\begingroup$ This is actually a very good question. I have access to the GS quant research database and they are not even available there (just checked). $\endgroup$
    – vonjd
    Jun 19, 2015 at 8:10

2 Answers 2

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Many of them are on my website at emanuelderman.com. Others I probably have anyway. Feel free to email me

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  • 9
    $\begingroup$ Is it really you, THE Emanuel Derman? it is a great honour to have you here! A very warm welcome to you! :-) $\endgroup$
    – vonjd
    Jun 19, 2015 at 13:20
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    $\begingroup$ A great honour indeed, welcome to Quant.SE, Emanual Derman! $\endgroup$
    – Bob Jansen
    Jun 19, 2015 at 14:04
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I had read some of them; actually, it does not exist an on-line library that collected them (or, better, it existed here, but it seems the website does not work anymore).

I reported here below some of them that you did not find:

Those are ones I read and I know, while, here below, you can find other papers of that series:

Emanuel Derman and Joe Zou, “Is the Volatility Skew Fair?” Goldman Sachs Quantitative Strategies Research Notes, 1997.

EDIT: the moneyscience provides a list of them, but I'm not sure about its completeness.

EDIT 2: This is the latest list of the publications that I took from a late 1999 paper:

  • Understanding Guaranteed Exchange-Rate Contracts In Foreign Stock

  • Investments Emanuel Derman, Piotr Karasinski and Jeffrey Wecker

  • Valuing and Hedging Outperformance Options Emanuel Derman

  • Pay-On-Exercise Options Emanuel Derman and Iraj Kani

  • The Ins and Outs of Barrier Options Emanuel Derman and Iraj Kani

  • The Volatility Smile and Its Implied Tree Emanuel Derman and Iraj Kani

  • Static Options Replication Emanuel Derman, Deniz Ergener and Iraj Kani

  • Enhanced Numerical Methods for Options with Barriers Emanuel Derman, Iraj Kani, Deniz Ergener and Indrajit Bardhan

  • The Local Volatility Surface: Unlocking the Information in Index Option Prices Emanuel Derman, Iraj Kani and Joseph Z. Zou

  • Implied Trinomial Trees of the Volatility Smile Emanuel Derman, Iraj Kani and Neil Chriss

  • Model Risk Emanuel Derman,

  • Trading and Hedging Local Volatility Iraj Kani, Emanuel Derman and Michael Kamal

  • Investing in Volatility Emanuel Derman, Michael Kamal, Iraj Kani, John McClure, Cyrus Pirasteh and Joseph Zou

  • Is the Volatility Skew Fair? Emanuel Derman, Michael Kamal, Iraj Kani and Joseph Zou

  • Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility Emanuel Derman and Iraj Kani

  • The Patterns of Change in Implied Index Volatilities Michael Kamal and Emanuel Derman

  • Predicting the Response of Implied Volatility to Large Index Moves: An October 1997 S&P Case Study Emanuel Derman and Joe Zou

  • How to Value and Hedge Options on Foreign Indexes Kresimir Demeterfi Regimes of Volatility: Some Observations on the Variation of S&P 500 Implied Volatilities Emanuel Derman

Hope this helps.

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  • 1
    $\begingroup$ Thanks for the qs link! A 2001 snapshot is available via archive.org : web.archive.org/web/20010207223703/http://www.gs.com/qs . (I think you could add it to your answer.) These are excellent papers, although not the series I mentioned. After your link to Moneyscience, I also added the latest list of the series to my question (it seems to be more complete than that of Moneyscience). Thanks again! $\endgroup$ Jun 18, 2015 at 22:46
  • $\begingroup$ Nice Job @Anton! $\endgroup$
    – Quantopik
    Jun 18, 2015 at 22:53
  • $\begingroup$ @Anton edited answer! $\endgroup$
    – Quantopik
    Jun 18, 2015 at 23:07

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