Mathematics Invited Talk

Wednesday, October 30, 2013
3:30 PM - 4:30 PM
Lo Schiavo Science 103 - Computational Lab
Event Type
Events and Lectures
Liu, Christine S

Speaker: Jeff Hamrick, USF

Sponsoring department: Mathematics, A&S

An Introduction to the Binomial Options Pricing Model

We 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").


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