30
$\begingroup$

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
$\endgroup$
  • $\begingroup$ 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 '15 at 22:11
  • 2
    $\begingroup$ Anton I edited the question by inserting the moneyscience link in which should be listed all references! $\endgroup$ – Quantopik Jun 18 '15 at 22:20
  • 1
    $\begingroup$ 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 '15 at 8:10
32
$\begingroup$

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

$\endgroup$
  • 8
    $\begingroup$ 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 '15 at 13:20
  • 5
    $\begingroup$ A great honour indeed, welcome to Quant.SE, Emanual Derman! $\endgroup$ – Bob Jansen Jun 19 '15 at 14:04
11
$\begingroup$

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.

$\endgroup$
  • 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! $\endgroup$ – Anton Tarasenko Jun 18 '15 at 22:46
  • $\begingroup$ Nice Job @Anton! $\endgroup$ – Quantopik Jun 18 '15 at 22:53
  • $\begingroup$ @Anton edited answer! $\endgroup$ – Quantopik Jun 18 '15 at 23:07

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.