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MIT Physics Lecture Series: b Quantitative Finance
David Brahm, Ph.D., CFA
Thu Jan 7, 01:30-02:30pm, 6-120
No enrollment limit, no advance sign up
Single session event
How does a physicist view the financial markets?
Securities are valued as discounted future cash flows, and stock prices are stochastic variables.
Derivatives can be priced using the no-arbitrage theorem, leading to the Black-Scholes partial differential equation.
Portfolio construction is a quadratic optimization problem with Lagrange multipliers.
Contact: Nancy Boyce, 4-315, 253-4461, nboyce@mit.edu
Sponsor: Physics
Latest update: 04-Nov-2009
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