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A brief review of financial mathematics and recent research topics
William Thurston Lectures| Speaker: | George Papanicolaou, Stanford University |
| Location: | 1147 MSB |
| Start time: | Wed, Feb 26 2014, 3:10PM |
Description
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