We are thankful to be welcome on these lands in friendship. The lands we are situated on are covered by the Williams Treaties and are the traditional territory of the Mississaugas, a branch of the greater Anishinaabeg Nation, including Algonquin, Ojibway, Odawa and Pottawatomi. These lands remain home to many Indigenous nations and peoples.

We acknowledge this land out of respect for the Indigenous nations who have cared for Turtle Island, also called North America, from before the arrival of settler peoples until this day. Most importantly, we acknowledge that the history of these lands has been tainted by poor treatment and a lack of friendship with the First Nations who call them home.

This history is something we are all affected by because we are all treaty people in Canada. We all have a shared history to reflect on, and each of us is affected by this history in different ways. Our past defines our present, but if we move forward as friends and allies, then it does not have to define our future.

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November 16, 2012

Speaker: Greg Frank, CIBC

Title: Mathematical Finance: the Applied Mathematician’s Toolkit

Abstract: Options, derivatives and other financial products allow market participants to manage their investment priorities and risk/reward profiles. The financial mathematician’s job is to understand these products and the markets in which they are embedded. In this talk we will examine how tools from applied mathematics are used to build the models that quantify derivatives’ value and risk. Starting with a simple model of random asset prices (random processes) we consider how to model a vanilla derivative on the asset (stochastic calculus, PDE), and how to find its value (integral transforms, ODE). We examine how more complex products can be built, valued (finite difference, Monte Carlo) and calibrated to the market (least squares, SVD). Individual products are combined into portfolios whose risk must be actively managed, and the requirement to measure risk places constraints on each model’s complexity and accuracy. Finally, we will look at how developments over the past few years are driving new financial modeling challenges.