Professor Maciej Capinski from University of Science and Technology (AGH) in Krakow, Poland and University of York, England. Professor Capinski is currently a Kosciuszko Foundation Research Scholar at the University of Texas-Austin. He will be visiting Northeastern Illinois University in Chicago during the period of November 16-19, 2010.
Workshop: Wednesday, 11/17/2010, Science Building, Room 242, 7:05-8:20 pm
Title: From binomial trees to pricing of financial derivatives
Abstract: In this talk we shall discuss underlying concepts of mathematical finance. We shall start from the beginning by explaining what financial derivatives are and how they can be priced. When an institution issues a financial derivative certain steps need to be followed. It first needs to know how much the derivative is worth.
Secondly it needs to be able to construct a strategy that will protect it from risk associated with changes on the market. We shall demonstrate these features on very simple examples based on binomial trees. We will also show that such examples can easily be generalized and lead to the Nobel prize winning Black-Scholes theory and to pricing of advanced financial instruments.
Seminar: Friday, 11/19/2010, 1:30-2:30 pm
Title: Predictability leads to chaos
Abstract: Chaotic phenomena are present in many of life’s examples. Waking up on a perfectly sunny day gives a promise of a pleasant breakfast, but never guarantees that taking an umbrella to work is a bad idea. Short term predictions, even when very accurate, cannot protect us from chaos that surrounds us. In this talk we shall demonstrate that good understanding of nearby future can give us a glimpse of mechanisms which lead to chaos in the long run. We shall restrict ourselves to simple examples from dynamical systems, but also highlight some interesting chaotic features present in celestial mechanics.
Northeastern Illinois University is located at 5500 N. St. Louis Ave. in Chicago.
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