[Todos] Coloquios DF: Maciej Trzetrzelewski (CRISIL GR&A) HOY Jueves 10/10, 14hs, Aula Seminario, 2do piso, Pab. I

[pdmitruk en df.uba.ar]

COLOQUIOS DEL DEPARTAMENTO DE FÍSICA FCEYN - UBA

          En el Aula Seminario, 2do piso, Pab. I, 

          Jueves 10/10, 14hs:

          MACIEJ TRZETRZELEWSKI

          CRISIL Global Risk & Analytics

         
         QUANT FINANCE - METHODS OF MATHEMATICAL PHYSICS IN FINANCE

         
In this talk I will discuss models that are used nowadays to price
derivative instruments (such as options, interest rate products) in the
financial industry. I will try to convince the audience that these models
are both practical and mathematically interesting - and therefore that
working for e.g. a bank need not necessarily be a boring experience. 

 

 From a physicist viewpoint, financial models resemble very much
considerations of Statistical Physics and hence it is not a surprise that
financial practitioners use, quite frankly, the same mathematical methods
as physicist do. However unlike in Physics, Quantitative Finance is not
about making predictions but about "fair" pricing today. This subtle
difference makes the objectives of these disciplines very different.

 

Finally if times allows I will present my recent paper concerning
"relativistic" extensions of the financial models. 

 
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