Mathematical
Modeling in Finance for the Information Age
Marco
Avellaneda
Courant
Institute, EUA
In
this talk I will introduce the main tools of investment theory such as Portfolio
Theory and Option Pricing. The emphasis of the talk will be to discuss mathematical
techniques that can be used to trade in financial markets with uncertainty,
with transaction costs, or in markets where volatility is rising or falling.
The ultimate goal is to present the panoply of tools that are being used in
financial markets today as well as to give some ideas about new trends and directions
that are appearing.
