February 23, 2015: IAQF & Thalesians Seminar Series

  • 23 Feb 2015
  • 5:45 PM (EST)
  • NYU Kimmel Center, Room 914, 60 Washington Square South, New York, NY

Registration

Registration is closed
Transformations of volatility skews into 
leveraged volatility skews

A Talk by Roger Lee




 


Abstract

We prove a set of simple relationships which directly link the volatility skew of a leveraged product with the volatility skew of the reference asset.  Error estimates are included.


Biography

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 University and at NYU, and worked in Global Equity-Linked Products at Merrill Lynch in New York. He has a PhD from Stanford University and a BA summa cum laude from Harvard University.


About the Series

The IAQF's Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com). The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. 


Registration Fees:
Complimentary for IAQF members through this site
Thalesians Members can register here for $25
Non-Members: $25.00 by registering through this site