Speaker: Jeff Hamrick, USF
Sponsoring department: Mathematics, A&S
An Introduction to the Binomial Options Pricing Model
aim to give an elementary introduction to the binomial options pricing
model, which was first developed by Cox, Ross, and Rubinstein in 1979.
In the process of pricing a simple contingent claim, we will connect the
following ideas: the no-arbitrage condition, discounted risk-neutral
expectations, and the replicating portfolio associated with a contingent
claim. We will conclude the talk with a set of ideas: the extension of
the binomial model to popular continuous-time models in finance, the
valuation of exotic options, and the situation of this particular topic
in the broader agenda of a typical upper-division elective in
mathematical finance. We will also talk about graduate opportunities in
mathematical finance (which is, distractingly, also called "financial
engineering" or "financial mathematics").