R202, Astronomy-Mathematics Building, NTU
Speaker(s):
Narn-Rueih Shieh (National Taiwan University)
Organizer(s):
Jenn-Nan Wang (National Taiwan University)
In these mini-series lectures, we will see how the PDEs and the Probability are blended to produce a holy-cup formula for the modern financial economics. The cup springs wealth to the foxy engagements; yet also accumulates momentum, among others, the 2008 Tsunami, a new-century chapter of J.K. Galbraith 1990 book A Short History of Financial Euphoria. The contents of the lectures (except Discussion) are adapted from the speaker’s interdisciplinary course at Department of Mathematics, The Chinese University of Hong Kong, in 2013S and 2015S. We shall proceed
1. Some notions in financial markets
2. Some stochastic tools
3. BSM Theory (model, dynamics, PDE, pricing formula, risk-neutrality, calibration)
4. Some extensions of the basic model
5. Discussion: arbitrages, leverages, and bubbles (signal-processing methods in financial markets)
