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PLEASE NOTE THAT THIS WEBINAR WILL START ON WEDNESDAY, 27 OCTOBER, 2021, AT 6:30 PM ***BST (LONDON TIME)*** (1.30 PM ***EDT (NEW YORK TIME)***)
FULL TITLE: Three stories on mathematical finance
When you write a textbook you may be faced with tricky decisions and be forced to do some unexpected research, despite many sources available, the topic being classic.
The first story is about the definition of admissible strategy in Black-Scholes model. This affects the scope of the no-arbitrage principle and its fundamental consequences.
Next, the question of existence and uniqueness of the risk-neutral probability in the simplest version of the credit risk model, surprisingly turns out to be open.
The last story is not related to book writing and it is about the choice of probability space from the point of view of teaching.
Prof. Marek Capinski has published over 50 research papers and eleven books. His diverse interests include mathematical finance, corporate finance, and stochastic hydrodynamics. For over 35 years he has been teaching these topics, mainly in Poland and in the UK, where he has held visiting fellowships. He is currently Professor of Applied Mathematics at AGH University of Science and Technology in Krakow, Poland, where he established a Master's programme in mathematical finance.
Numerous - see http://home.agh.edu.pl/~capinski/