Faculty in Mathematical Finance
Math Finance Home
Conferences
Seminars
People
Open Positions
Contact |
CCF 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 |