Rudolf Peierls Centre for Theoretical Physics
University of Oxford
>
Physics
>
Theoretical Physics
An Introduction to the Mathematics of Financial Derivatives and the problem of Counterparty Risk
David Shelton
Friday 03-Jun-11 at 2:15pm, Dennis Sciama Lecture Theatre
We present an introduction to the mathematics of financial derivatives, introducing the concepts of portfolio replication, risk-neutral valuation and the Black-Scholes analysis. We then present a topical example of urgent current interest: the problem of counterparty credit risk, the risk that the counterparty in a derivative transaction may default on their contractual obligation. We formulate the problem and discuss one approach to modelling this risk. Finally we also mention some practical points regarding careers in quantitative finance and making the transition from academia.