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:
- Regimes of Volatility
- Trading and Hedging Local Volatility
- How to Value and Hedge Options on Foreign Indexes
- Strike-Adjusted Spread
- The Local Volatility Surface
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