University of Calgary

What is Financial Mathematics? History, Basic Ideas, Methods and Some Prospectives

Submitted by ppaterso on Thu, 03/26/2009 - 11:16am.
Apr 2 2009 - 2:00pm
Apr 2 2009 - 3:00pm
Speaker: 

Dr. Anatoliy Swishchuk

University of Calgary

Location: 
MS 431
Colloquium

Finance may be defined as the study of how people allocate
scarce resources over time. Financial mathematics is a collection of mathematical techniques that
find applications in finance, e.g., asset pricing (derivative securities), hedging and risk management,
portfolio optimization. In this talk, I'm going to present short history, basic ideas, methods
and some prospectives of financial mathematics. I'll also be talking about the main meltdowns in financial history, in 1998 and 2008. To the opinion of many financial experts these meltdowns were caused by wrong using/applications of financial mathematics in financial industry, in particular,
misusage of Black-Scholes formula (with constant volatility) and Gaussian copula function (with constant correlation).