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Wolfgang-Pauli-Institut
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Mo., 23.06.2014, 17:00, WPI seminar room
Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 8th floor
Juraj Kapasny (Masaryk University Brno & Univ. of Vienna)
"Application of PDEs in option pricing:
Black Scholes formula and how it failed"
(Projektseminar 'Angewandte Analysis', Markowich & Mauser)
Juraj will present a short basic explanation of mathematics for pricing
options, the Black Scholes formula, and how it nearly triggered a crash
when the LTCM fund collapsed in 1999 that was based on Black-Scholes
formula and managed by Scholes himself.
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