Thursday, February 18, 2010

Straight from the horse's mouth

Stan Pliska gave the first of two guest lectures in my graduate course  yesterday by covering an enourmous amount of material in a commented tour of option pricing history from the Middle Ages to the 1980s.

As I mentioned in my September 09 Fields Notes article, I always knew that the Harrison and Pliska paper had opened the flood gates for the use of  sophisticated stochastic analysis in finance, thereby more or less starting the discipline of mathematical finance as we know it. What I didn't know was how deliberate this was, to the extent that Stan, Mike Harrison and Rick Durrett (another hero of mine for completely different reasons stemming from the time I was working in statistical mechanics) had formed a reading group in 1980 specifically to study the work done in semimartingales and stochastic integration by the French school of probability (a la Dellacherie and Meyer).

It was delightful to hear all this and much more from Stan, and we look forward to his second lecture next week.

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