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.