Laughter in the Dark: An Introduction to the Volatility Smile
Lips (Heure de l'Observatoire)
Man Ray
These are unpublished lecture notes from the Master's in Financial Engineering Program at Columbia University. I have used many published papers and books to improve (I hope) the pedagogic nature of these notes, and perhaps not referenced them properly. Since they are in rough form, I will be pleased to correct any errors or omissions. I'll add new lectures as the semester progresses. Note that some lectures don't manage to cover all the topics listed in the title during the class time alloted, in which case that material is continued in the following lecture.
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