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Spring 2020 Industrial Engineering and Operations Research E4718 section 001
INTRO-IMPLIED VOLATILITY SMILE
BEYOND BLACK-SCHOLES: IMPLIED

Call Number 14157
Day & Time
Location
MW 1:10pm-2:25pm
451 Computer Science Building
Points 3
Grading Mode Standard
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 29 students (80 max) as of 4:38PM Thursday, July 2, 2020
Subject Industrial Engineering and Operations Research
Number E4718
Section 001
Division School of Engineering and Applied Science: Graduate
Campus Morningside
Note Priority to MSFE
Section key 20201IEOR4718E001

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SIS update 07/02/20 16:38    web update 07/02/20 18:20