Arbitrage-free Pricing and Optimal Investment

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

Category
Colloquium

Speaker
David German, Claremont McKenna College

Abstract

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.

Where
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