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

Seminar series

Junior Applied Mathematics Seminar

Date

Tue, 13 Nov 2012

Time

13:15 - 14:00

Location

DH 1st floor SR

Speaker

Arnaud Lionnet

Organisation

University of Oxford

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).