Traders of stock options often quote prices not in dollars and cents, but rather in "implied volatility" — sometimes described as "the wrong number
to plug into the wrong formula to get the right price".
We define what this means and explore why this makes sense, in the context of stochastic models of financial asset prices.
Roger Lee is an Associate Professor of Mathematics at the University of Chicago.
He serves also as an Associate Editor of Mathematical Finance and an
Associate Editor of the SIAM Journal on Financial Mathematics.
Previously he held an NSF postdoctoral fellowship at Stanford and at NYU.
He has a PhD from Stanford and a BA from Harvard.
Contact at the MS2Discovery Research Institute: Roman Makarov (Host of the Speaker, Tecton 7)
Refreshments will be provided
