Speaker: Professor Emanuel Derman (Columbia University)
Major topics of the short course:
- Understanding volatility as a quality, a quantity, and an asset
- Understanding the practical use of the Black-Scholes-Merton model.
- Coming to grips with the volatility smile.
- The extensions of the Black-Scholes model to accommodate/explain the volatility smile.
- Understanding the consequences of these extensions.
It is easy to make up new and richer models but we want to understand whether they are realistic, whether they are advantageous, and what they lead to.
Avenue Map: PDF
NEW : Change of Avenue
Download: Volatility Smile Derman Hong Kong.pdf
Online Registration: CLOSED
Schedule and Venues:
October 15, 2013 (Tuesday):
2.00pm – 5:30pm (with a short break at 3:30pm – 4:00pm)
Lecture Theater, Institute for Advanced Study Building, Lee Shau Kee campus, Hong Kong University of Science and Technology, Clear Water Bay NEW
October 19, 2013 (Saturday):
2.00pm – 5:30pm (with a short break at 3:30pm – 4:00pm)
Lecture Theater F, Academic Building, Hong Kong University of Science and Technology, Clear Water Bay (venue is not the same as for the first and last lectures) NEW
October 25, 2013 (Friday):
2.00pm – 5:30pm (with a short break at 3:30pm – 4:00pm)
Lecture Theater, Institute for Advanced Study Building, Lee Shau Kee campus, Hong Kong University of Science and Technology, Clear Water Bay NEW
About the Speaker:
Emanuel Derman is Head of Risk at Prisma Capital Partners and a professor at Columbia University, where he directs their program in financial engineering. His latest book is “Models Behaving Badly: Why Confusing Illusion with Reality Can Lead to Disasters, On Wall Street and in Life”, one of Business Week’s top ten books of 2011. He is also the author of “My Life As A Quant”, also one of Business Week’s top ten of 2004, in which he introduced the quant world to a wide audience.
He was born in South Africa but has lived most of his professional life in Manhattan, where he has made contributions to several fields. He started out as a theoretical physicist, doing research on unified theories of elementary particle interactions. At AT&T Bell Laboratories in the 1980s he developed programming languages for business modeling. From 1985 to 2002 he worked on Wall Street, running quantitative strategies research groups in fixed income, equities and risk management, and was appointed a managing director at Goldman Sachs & Co. in 1997. The
financial models he developed there, the Black-Derman-Toy interest rate model and the Derman-Kani local volatility model, have become widely used industry standards.
Among his awards and honors, he was named the SunGard/IAFE Financial Engineer of the Year in 2000. He has a PhD in theoretical physics from Columbia University and is the author of numerous articles in elementary particle physics, computer science, and finance.