On mathematics for finance
Jean-Philippe ArgaudEDF R&D and CERFACS
Tuesday, November 27th, CERFACS Conference Room - 14h30
Finance is a very active fields of mathematics applications. Even simple concepts of finance often rely on complex mathematical tools. Social, or even personal, implications of finance, together with increased life effects of markets, make difficult the perception of the mathematical finance general framework.
In this talk, the essential mathematical elements of market finance will be made clear, and explained as simply as possible.
First, beyond specialised language, the general framework and the challenges will be described. Simple examples will enlighten the basic ideas, and illustrate how finance addresses common questions such as the availability of experimental data, or non-scientific communication.
Second, an overview mathematical tools will be exposed in order to understand their application to finance and their limitations. Modelisation framework and theoretical concepts used will be explained, avoiding as much as possible effective details of their practical resolution. Numerical applications as well as constraints needed for operational market finance applications will also be mentionned.
The talk will be given in french.
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