Directory of Classes
NOTE: Course information changes frequently. Please re-visit these pages periodically for the most recent and up-to-date information.

Spring 2019 Industrial Engineering and Operations Research E4718 section 001
INTRO-IMPLIED VOLATILITY SMILE
BLACK-SCHOLES:IMPLIED VOLATILI

Call Number 18358
Day & Time
Location
MW 1:10pm-2:25pm
1127 Seeley W. Mudd Building
Points 3
Approvals Required None
Instructor Emanuel Derman
Type LECTURE
Course Description Prerequisites: (IEOR E4706) and knowledge of derivatives valuation models. During the past fifteen years the behavior of market options prices have shown systematic deviations from the classic Black-Scholes model. The course examines the empirical behavior of implied volatilities, in particular the volatility smile that now characterizes most markets, the mathematics and intuition behind new models that can account for the smile, and their consequences of these models for hedging and valuation.
Web Site Vergil
Department Industrial Engineering and Operations Research
Enrollment 60 students (80 max) as of 12:29AM Saturday, December 15, 2018
Subject Industrial Engineering and Operations Research
Number E4718
Section 001
Division School of Engineering and Applied Science: Graduate
Open To Engineering and Applied Science: Undergraduate, Engineering and Applied Science: Graduate
Campus Morningside
Section key 20191IEOR4718E001

Home      About This Directory      Online Bulletins      ColumbiaWeb      SSOL
SIS update 12/15/18 00:29    web update 12/15/18 07:35