12 noon - 1pm
Thursday 31 October 2019
Coming up with prices from mathematical logic
A seminar in the Amazing Maths Seminar Series designed to give undergraduate mathematics students a flavour of mathematics research beyond the core curriculum.
University of Surrey
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In financial markets there are many highly sophisticated products being traded. The future benefits (or the cash flows) resulting from these contracts are highly uncertain, and are dependent on how the future market develops. So how does one manage to come up with the prices for these seemingly intangible products? Surprisingly, based on pure mathematical logic, discovered in 1973, it is now possible to price these uncertainties. This talk will introduce these ideas through the example of pricing a simple stock option.