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Spring 2022 Industrial Engineering and Operations Research E4718 section 001

Call Number 13477
Day & Time
MW 1:10pm-2:25pm
313 Fayerweather
Points 3
Grading Mode Standard
Approvals Required None
Instructor Emanuel Derman
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 9:04AM Monday, November 28, 2022
Subject Industrial Engineering and Operations Research
Number E4718
Section 001
Division School of Engineering and Applied Science: Graduate
Open To Engineering:Undergraduate, Engineering:Graduate
Campus Morningside
Section key 20221IEOR4718E001

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SIS update 11/28/22 09:04    web update 11/28/22 09:24