Calculating Implied Volatility

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• Dr Mike Tehranchi, Statistical Laboratory, DPMMS
• Wednesday 20 April 2016, 12:35-13:00
• CMS Core.

If you have a question about this talk, please contact James Parke.

The Black-Scholes model predicts the price of a contingent claim in terms of the price of a more fundamental asset and a dynamic parameter known as the volatility. Although the Black-Scholes model is now less commonly used in practice, it has become industry standard to quote contingent claim prices in terms of so-called implied volatility. This talk will survey recent results in calculating implied volatility in the context of popular financial models.

This talk is part of the CMS Colloquia series.

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