Robert Merton to Speak at SIAM's Toronto Meeting

May 14, 1998


Robert C. Merton
A key part of the landmark 1973 paper presenting the Black–Scholes formula for pricing options, according to the late Fisher Black, was Robert C. Merton's arbitrage argument for deriving the formula. Indeed, the paper "should probably be called the Black–Merton–Scholes paper," Black wrote in 1988 (see SIAM News, December 1997, page 1).

Merton, who shared the 1997 Nobel Prize in Economics with Myron Scholes, will give the I.E. Block Community Lecture in Toronto on Tuesday, July 14, at the 1998 SIAM Annual Meeting. His talk, titled simply "Mathematics in Finance," is sure to be a highlight not only for meeting participants but also for interested Toronto area residents. Merton's talk is one of many sessions on financial mathematics scheduled for the meeting, beginning with a short course, "The Mathematics of Financial Risk Management," to be presented by Luis A. Seco of the University of Toronto, on Sunday, July 12, and continuing with two invited talks and several minisymposia.

The invited speakers are: John C. Hull (University of Toronto), "The Pricing and Hedging of Derivatives"; and David Heath (Carnegie Mellon University), "Models for the Evolution of the Term Structure on Interest Rates."

Scheduled minisymposia include: "Computational Finance," organized by Claudio Albanese (Toronto); "Computational Methods for Option Pricing," organized by Ken Vetzal, Peter Forsyth, and Phelim Boyle (University of Waterloo); and "Mathematical Problems Arising in Financial Risk Management," organized by Ron Dembo and Dan Rosen (Algorithmics Inc.).

Other themes for this year's meeting are computational chemistry for pharmaceuticals; computational electromagnetics; discrete mathematics; Earth's dynamo; mathematical sciences curriculum reform; nondestructive evaluation; superconductivity; and weather/climate/environmental modeling and computation. Chairs of the Organizing Committee for the Toronto meeting are Max Gunzburger (Iowa State University), Kenneth Jackson (Toronto), and Roy Nicolaides (Carnegie Mellon).

A combined preliminary program for the Annual Meeting and the Ninth SIAM Conference on Discrete Mathematics, which will run from July 12 to July 15 and which will also be held in Toronto, is scheduled for mailing in early May. Additional information on both meetings can be found in this issue's Inside SIAM, as well as on the World Wide Web at http://www.siam.org/meetings/.


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