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Spring 2022 Industrial Engineering and Operations Research E4718 section 001
INTRO-IMPLIED VOLATILITY SMILE
INTRO-IMPLIED VOLATILITY

Call Number 13477
Day & Time
Location
MW 1:10pm-2:25pm
313 Fayerweather
Points 3
Grading Mode Standard
Approvals Required None
Instructor Emanuel Derman
Type LECTURE
Method of Instruction In-Person
Course Description During the past 15 years the behavior of market options prices have shown systematic deviations from the classic Black-Scholes model. 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 for hedging and valuation.
Web Site Vergil
Department Industrial Engineering and Operations Research
Enrollment 54 students (75 max) as of 3:13PM Friday, May 20, 2022
Subject Industrial Engineering and Operations Research
Number E4718
Section 001
Division School of Engineering and Applied Science: Graduate
Campus Morningside
Section key 20221IEOR4718E001

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SIS update 05/20/22 15:13    web update 05/20/22 15:33