Arbitrage-free Pricing and Optimal Investment

Start: 02/03/2010 - 4:15pm
End  : 02/03/2010 - 5:15pm


David German, Claremont McKenna College


This is an overview talk, briefly explaining the use of mathematical methods in some areas of modern finance. In this talk I will define a Financial Market from the point of view of mathematical finance, and formulate the problem of a derivative security pricing. I will explain the differences in asset pricing methods for complete and incomplete markets. I will explicitly show the derivation of Black and Scholes formula for pricing a European put option (direct PDE method), and contrast it with a (more elegant) martingale approach. In the second part of this talk I will define an optimal investment problem, and show an explicit solution in the case of complete markets.

Beckman Auditorium B126, Harvey Mudd College

Misc. Information

Coffee & Cookies at 3:45 pm in Olin B161 Harvey Mudd College
The dinner will be hosted by Professor Henry Shellhorn.
If interested in attending, please call ext 74168