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Mathematics Colloquium


Date:  Tuesday, October 21, 2014

Title:  From Thales and Gaspard Monge to VIX options

Abstract:  Modern financial industry makes use of advanced mathematical techniques in its daily operations. They are mainly used for risk quantification and management. Many new complex financial instruments are created through these tools. In turn they provide the needed additional financing for many vital industries. On the scientific side, mathematical finance provides an excellent laboratory for the general question of decision making under uncertainty. In this talk, I will give a brief historical perspective and then discuss some current applications related to a stochastic extension of the classical Monge-Kantorovic optimal transport problem.

Speaker:  Mete Soner
Institution:  ETH


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