Quant Finance – methods of Mathematical Physics in Finance

Maciej Trzetrzelewski

CRISIL Global Risk & Analytics

 

Jueves 10/10/2013, 14 hs
Aula Seminario, 2do piso, Pabellón I 

 

In this talk I will discuss models that are used nowadays to price derivative instruments (such as options, interest rate products) in the financial industry. I will try to convince the audience that these models are both practical and mathematically interesting - and therefore that working for e.g. a bank need not necessarily be a boring experience. 

 

From a physicist viewpoint, financial models resemble very much considerations of Statistical Physics and hence it is not a surprise that financial practitioners use, quite frankly, the same mathematical methods as physicist do. However unlike in Physics, Quantitative Finance is not about making predictions but about "fair" pricing today. This subtle difference makes the objectives of these disciplines very different.

 

Finally if times allows I will present my recent paper concerning “relativistic” extensions of the financial models. 

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