An Introduction to Implied Volatility and Its Asymptotic Problems

Speaker: Zhi Guo

Affiliation: University of Western Sydney

Time: Tuesday 12/07/2011 from 14:00 to 15:00

Venue: Access Grid UWS. Presented from Parramatta (EB.1.32), accessible from Campbelltown (26.1.50) and Penrith (Y239).

Abstract: Implied volatility is an important indicator of investor risk aversion. As a ubiquitous and intriguing feature of the trillion-dollar derivatives market, it bridges the gap between the theoretical Black-Scholes model and the real-world option price dynamics. In this talk we will introduce the concept of implied volatility and explain some of the related asymptotic problems where the expiration time or exercise price of the option is small or large.

Biography: Zhi Guo is a lecturer with the School of Computing and Mathematics at UWS. He completed his undergraduate and postgraduate studies in the University of New South Wales and has worked at his alma mater as well as at the University of Technology, Sydney. His research interests include implied volatility modelling and derivative pricing.