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Centre of Financial Mathematics Seminar Series
April 12, 2018 @ 1:30 pm - 2:30 pm
Dr. Jeff Dewynne (Mathematical Institute, University of Oxford)
Security- dependent derivative pricing
This will be an informal talk about some problems which arise in derivative pricing when the derivative’s pricing function depends not only on the underlying asset and time but also on the derivative security itself. This leads to non-linear pricing equations. Together with a terminal condition one may end up with ill-posed problems (with either no solutions or multiple solutions) or well-posed problems, depending on what the terminal condition. Most of the examples will consist of non-linear forward start options.
Please let me know if you want to join the speaker for lunch at Expresso Warriors before the seminar at 12pm.