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NJIT Applied Mathematics Colloquium
Friday, January 21 2011, 11:30am
Cullimore Lecture Hall II
New Jersey Institute of Technology
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A brief review on mathematical finance and its recent developments
City University of Hong Kong
We will give a brief review on mathematical finance with emphasis on derivative pricing. A derivative is a financial instrument whose value depends on the values of other underlying variables, such as stock prices and interest rate. How to determine the prices of the derivative securities is very important for both theoretical considerations and practical applications. In this talk, we will also present several progresses in derivative pricing: How to estimate the volatility which is the most important parameter in modern finance, how to determine the values of American options in complicated situation and how to develop a model which unifies all existing short-rate models for interest.
Last Modified: Jan 2011
Linda Cummings
L i n d a . J . C u m m i n g s @ n j i t . e d u