12/11/2014, 17h-19h : Mark Davis, Professor of Mathematics at Imperial College London.
Louis Bachelier’s 1900 PhD thesis Théorie de la Spéculation introduced mathematical finance to the world and also provided a kind of agenda for probability theory and stochastic analysis for the next 65 years or so. The agenda was carried out by succession of the 20th century’s best mathematician and physicists, but the economic side of Bachelier’s work was completely ignored until it was taken up by Paul Samuelson in the 1960s.
By that time the mathematics—which certainly was not developed with any view towards applications in economics—was in perfect shape to solve Samuelson’s problems, and quickly led to the Black-Scholes formula, the watershed event in financial economics. The aim of this talk is to give some account of this twin-track development, based on the discussion in the recent book Davis and Etheridge (2006). The text below consists of some abridged extracts from the book.
Mark Davis is a Professor of Mathematics at Imperial College London. He also acts as a consultant to Hanover Square Capital Partners, a newly-founded capital markets company. From 1995-1999 he was Head of Research and Product Development at Tokyo-Mitsubishi International, leading a front-office group providing pricing models and risk analysis for fixed-income, equity and credit-related products. Professor Davis holds a PhD from the University of California, Berkeley and is the author of three books on stochastic analysis and optimisation. He was a founding co-editor of the journal Mathematical Finance (1990-93) and is currently an associate editor of Quantitative Finance. He was awarded the Naylor Prize in Applied Mathematics by the London Mathematical Society in 2002. More details here.