Return to Colloquia & Seminar listing
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 |
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.