Colloquium
Physics Lecture Hall
Wednesday, October 8, 2014, 4:45 pm
Tea and cookies @ 4:30 pm
Dan Pirjol
(J.P. Morgan):
Financial modelling -- a physicist's perspective
The talk will give a broad introduction to the interest rates and
credit markets, their role in the financial crisis of 2008-2009, and
the central banks' response to these events. The models currently
used for modelling interest rates have their origin in models
introduced in physics to describe stochastic phenomena such as Brownian
motion. The talk gives a brief introduction to these
models, and describes how they are used in practice.