Organizer
Rene Carmona, Chair
Department of Operations Research and Financial Engineering
Princeton University
Instructor
Steven E. Shreve
Department of Mathematical Sciences
Carnegie Mellon University
Rationale
The Nobel prize-winning work of Markowitz, Black, Scholes and Merton has
fundamentally changed the practice of finance. The development of mathematical models to understand the relationship among complicated financial
instruments has enabled the proliferation of these instruments which enhance
the efficiency of world-wide capital markets. Investment banks, energy firms,
and asset management companies employ thousands of people who understand and use numerical methods, partial differential equations, stochastic
calculus and statistics, and on the basis of these models billions of dollars
are traded daily.
Description
This course is an introduction to the stochastic calculus on which modern financial models are built, and an introduction to the models themselves. The
course will also touch on the role of partial differential equations in finance
and will indicate some of the areas in which further research is needed.
Level of Material
Introductory
Course Objectives
The course is intended to provide an overview of the applications of mathematics to finance, provide an introduction to the literature, and suggest areas
for research.
Who Should Attend
Students and scientists with little or no previous knowledge of the field.
Recommended Background
Measure theoretic probability is desirable. Knowledge of undergraduate
probability and a good background in measure and integration should suffice.
Instructor
Professor Steven Shreve is the Director of the Ph.D. program in Mathematical Finance and a co-founder of the professional Master's degree in Computational Finance at Carnegie Mellon. He serves as an Advisory Editor for
Finance and Stochastics, is a member of the governing Council of the Bachelier Finance Society and a Fellow of the Institute for Mathematical Statistics.
He is co-author with I. Karatzas of Brownian Motion and Stochastic Calculus and Methods of Mathematical Finance. He regularly teaches executive
education courses to investment bank employees.
Program
Morning
8:30 - 10:00
10:30 - 12:00
Afternoon
2:00 - 3:00
3:30 - 4:00