5:00 pm Wednesday, March 31, 2010
umrg: Math Club: The Black-Scholes-Merton Formula and Risk-Neutral Pricing by Phil Monin (UT Austin) in RLM 11.176
The Black-Scholes-Merton formula, discovered in the early 1970s, led to a revolution in the world of pricing and hedging financial derivatives and helped spawn the fledgling academic field of mathematical finance. In this talk, I will introduce financial derivatives, discuss the rudiments of risk-neutral pricing, derive the Black-Scholes-Merton formula and discuss its limitations. If time permits, I will discuss other topics in mathematical finance. Submitted by
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