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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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