You are cordially invited to attend the FRE Lecture Series at 3:30PM on Tuesday, April 24th  at

LC 400 – Dibner Building
5 Metrotech Center, Brooklyn, NY 11201 

Dr. Roger Lee will present a lecture on the following topic:

Title

The Book of Five Moments: Cumulant Formulas for Implied Volatility 

Abstract

Expressing option prices as Black-Scholes implied volatilities reveals features of the underlying probability distribution. We prove a formulation of this idea in a near-Gaussian asymptotic regime where we relate the shape of the implied volatility skew to the cumulants of the underlying distribution.

Bio

Roger Lee is an Associate Professor of Mathematics and the Director of the Financial Mathematics Program at the University of Chicago. He has served on the editorial boards of the journals Mathematical Finance, Applied Mathematical Finance, and the SIAM Journal of Financial Mathematics. He has a PhD from Stanford and a BA from Harvard.

Light refreshments will be served. Please mark your calendars and see attached poster for details. We will distribute the slides next week. Hope you can join us. 

Please note that our final FRE Lecture for spring will be held on May 3rd at 3PM in LC 400 (Dr. Alec Schmidt).