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Probability and Computational Finance Seminar
Roy Nicolaides
Carnegie Mellon University
Title: Homogeneous Finance

Abstract: Many option and other pricing problems, including the standard ones, can be represented using homogeneous data. It turns out that a novel and attractively simple form of APT can be created for these pricing problems. In this talk I will explain the role of homogeneity in pricing theory and outline a version of APT which is tailored to fit homogeneous problems.

Date: Monday, December 3, 2012
Time: 5:00 pm
Location: Wean Hall 6423
Submitted by:  Steve Shreve