[FAM-news] reminder for upcoming seminars and talks

Sandra Trenovatz sandra at fam.tuwien.ac.at
Sat Jun 21 22:05:22 CEST 2014


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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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