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GLG Seminar: (NYC) Quantitative Analysis – Modeling the Volatility Smile

Time & Location

Originally Presented: August 13, 2008

Presenter(s):

GLG Expert Contributor

Agenda:

  • The limitations of the Black-Scholes model
  • The emergence of the smile phenomenon after the 1987 crash
  • Black-Scholes alternatives such as local and stochastic volatility and jump-diffusion

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About GLG InstituteSM Seminars

A program focused on educating business and investment professionals through seminars on current trends and core concepts in various industries. Detailed workbooks distributed at the Seminars provide educational reference materials for later review. The GLG institute website. www.glginstitute.com, enables clients to increase thier own industry education by proposing new seminar topics or adding agenda terms to currently scheduled seminars.


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