Abstract

For the past thirty years, mathematics has been merging with many areas of traditional finance, including asset management, derivative security pricing and trading, and risk management. This talk reviews some of the fundamental ideas that have led to these developments, including mean-variance analysis, the Black-Scholes option pricing formula, and coherent risk measurement.

BIO: Professor Shreve directs the Carnegie Mellon Bachelor's program in Computational Finance, is a co-founder of the Master's program in Computational Finance, and is the founder of the Ph.D. program in Mathematical Finance. He is also the author of "Stochastic Calculus for Finance," a two-volume work that won the 2004 Wilmott reader's award for "Best New Book in Quantitative Finance." He is the co-author of the additional books "Brownian Motion and Stochastic Calculus," "Methods of Mathematical Finance," and "Stochastic Optimal Control: The Discrete-Time Case." He has published numerous articles on stochastic calculus and stochastic control, including applications of these subjects to transaction costs in optimal consumption and option pricing, stochastic volatility, pricing exotic options, credit risk, and convertible bonds, and he regularly teaches industry courses on the applications of stochastic calculus to derivative security pricing. Professor Shreve holds a Ph.D. in Mathematics and an M.S. degree in Electrical Engineering from the University of Illinois and a B.A. degree in German from West Virginia University.

TUESDAY, November 20, 2007
Time: 4:30 P.M.
Location: WeH 7500

Refreshments for those attending seminar - 4:00 P.M., Wean 6220.