Thalesians Seminar (London) — Mark Davis — Model-free Finance
Date and Time
Wednesday 25th October 2017, at 7:30 p.m.
Marriot Hotel, Canary Wharf London, UK.
You can register for this event and pay online on Meetup.com: https://www.meetup.com/thalesians/events/244400545/
Model-free finance uses only the current prices of traded assets to derive the range of arbitrage-free prices of other assets as well as identifying cheapest super-hedging strategies via infinite-dimensional linear programming. The ideas are closely related to the ‘Dutch Book’ theorems of subjective probability, pioneered in the 1920s and 1930s by Ramsey and De Finetti.
Mark Davis is a Professor of Mathematics at Imperial College London, specializing in stochastic analysis and financial mathematics, in particular in credit risk models, pricing in incomplete markets and stochastic volatility. He also acts as a consultant to Hanover Square Capital Partners, a newly-founded capital markets company. From 1995-1999 he was Head of Research and Product Development at Tokyo-Mitsubishi International, leading a front-office group providing pricing models and risk analysis for fixed-income, equity and credit-related products. Professor Davis holds a PhD from the University of California, Berkeley and is the author of three books on stochastic analysis and optimisation. He was a founding co-editor of the journal Mathematical Finance (1990-93) and is currently an associate editor of Quantitative Finance. He was awarded the Naylor Prize in Applied Mathematics by the London Mathematical Society in 2002.
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