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A brief review of financial mathematics and recent research topics

Distinguished Lecture Series

Speaker: George Papanicolaou, Stanford University
Location: 1147 MSB
Start time: Wed, Feb 26 2014, 3:10PM

Modern financial mathematics evolved in the past decades out of the meed to manage risk with financial instruments like derivative contracts. After a brief historical review of how this subject started and has evolved I will discuss current issues in the quantification and management of risk in financial markets. Until recently, risk assessment models did not consider seriously the effects of inter-connectedness of financial agents and markets, and the way risk diversification impacts the overall stability of markets. I will discuss this issue and more generally how the stability of markets is affected by different patterns of trading.

Reception to follow 4-5pm