Thursday, July 25

3:15-5:15 PM

## MS41

Mathematical Finance I (Part I of II)

The success of the Black-Scholes option pricing formula has spawned a host of mathematical models for pricing and hedging complex securities. These models typically involve stochastic calculus, partial differential equations, and methods from control theory. The implementation of successful models in financial practice is almost immediate, and indeed, the development of models is frequently driven by problems arising in practice. The speakers in these minisymposia present some recent results in the development and applications of new models.
**Organizers: Steven E. Shreve and H. Mete Soner**

Carnegie Mellon University

**3:15 Some Recent Results on Path-Dependent Options**
- Helyette Geman, ESSEC, France
**3:45 Title to be determined**
- David Heath, Cornell University
**4:15 Pricing and Hedging Certain Path-Dependent Options**
- Marc Yor, University Pierre et Marie Curie, France
**4:45 Optimal Test for Change Points via Stochastic Calculus**
- Fallaw Sowell, Carnegie Mellon University

*MMD, 5/20/96*