An introduction to mathematical finance : market completeness, arbitrage and backward stochastic differential equations

13 November 2012
13:15
Arnaud Lionnet
Abstract

I will present the basics of mathematical finance, and what probabilists do there. More specifically, I will present the basic concepts of replication of a derivative contract by trading, market completeness, arbitrage, and the link with Backward Stochastic Differential Equations (BSDEs).

  • Junior Applied Mathematics Seminar