| Call Number | 11637 |
|---|---|
| Day & Time Location |
MW 1:10pm-2:25pm 303 Seeley W. Mudd Building |
| 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 | 34 students (75 max) as of 10:05AM Friday, April 26, 2024 |
| 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 | 20231IEOR4718E001 |