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NOTE: Course information changes frequently, including Methods of Instruction. Please revisit these pages periodically for the most recent and up-to-date course information. | |
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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