COLL 9 |
| Eric S. Reiner, Equities Quantitative Strategies, Equities Quantitative Strategies, UBS AG, 677 Washington Boulevard, Stamford, CT 06901 |
| Advances in the trading and risk management of modern derivative products have largely been driven by the application of analytical and numerical techniques to financial models based on the benchmark Black-Scholes-Merton PDE. At first blush, these models are simple transliterations of the convection-diffusion-reaction paradigm. However, the rich variety of option payoffs and the need to represent complex market dynamics requires the development of methods specifically adapted to financial settings. These approaches and their interpretations in turn offer the potential to assist modelling and understanding of the transport phenomena that originally underlay the Black-Scholes model. Techniques developed recently to value path-dependent equity derivatives are provided in illustration. |
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ACS Award in Colloid and Surface Chemistry Symposium Honoring Clay Radke
Division of Colloid and Surface Chemistry |