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Recent Research in Risk Neutral Pricing
William Thurston Lectures| Speaker: | George Papanicolaou, Stanford University |
| Location: | 1147 MSB |
| Start time: | Fri, Feb 28 2014, 11:00AM |
Description
I will review briefly risk neutral pricing
of derivatives (the Black-Scholes-Merton theory)
and discuss contemporary issues such as
stochastic volatility models, commodities and
default.