Tuesday, October 19, 2010

Mathematical finance at the old Paris Bourse

It turns out that most things related to mathematical finance in Paris are named after Louis Bachelier. Apart form the Bachelier seminars that I mentioned in this post, there is also the Institute Louis Bachelier, a high level research center house at the Palais Brongniart, the original quarters for the Bourse de Paris.

The name and location couldn't be more perfect, given that Bachelier is the undisputed founder of mathematical finance and used the Bourse as a practical example for his Theorie de la Speculation.

In any case, I went there yesterday for two back-to-back talks (no link available). The first was by Lorenzo Bergomi, who spoke about issues related to estimating asset volatility and correlation in asynchronous markets and the second was by Emannuel Gobet, who gave a comprehensive overview of expansion techniques for calculating expectations (e.g option prices) with several examples drawn from popular models for stock prices.

No comments:

Post a Comment