The G. S. Watson Annual Lecture, 2003
Professor Fima Klebaner
Title: "Mathematics of Options"
Presenter: Professor Fima Klebaner, School of Mathematical Sciences, Monash University, Melbourne
Date: Tuesday, 16 September 2003, 5pm to 6pm, Outdoor Education Lecture Theatre, La Trobe University, Bendigo
Abstract: An option is a contract between two parties that gives its holder the right (but not an obligation) to a financial transaction in the future. It is remarkable that prices of such contracts do not depend solely on supply and demand, but are derived by what is known as arbitrage arguments. This means that if an option has a price that deviates from the theoretical one, then there is a possibility for making sure profit without investing your own money. The mathematical theory of options is used by financial institutions, such as banks, for calculation of prices and for risk management (hedging). The mathematical foundation of options theory has its roots in probability, stochastic processes and partial differential equations. In this talk, Professor Klebaner will outline basic mathematical ideas leading to the Black-Scholes formula, the main model used for pricing of options. Please note that no prior knowledge in anything is assumed.
About the Presenter: Fima Klebaner was recently appointed as the chair in statistics in the School of Mathematical Sciences at Monash University. Before that, he was a lecturer in Monash's Department of Mathematics and Statistics from 1986 to 1988, then he spent 13 years at the University of Melbourne. He is an expert at modelling random processes such as fluctuations in shares and stockmarket options and in the biological fields of population development, population growth and evolution.