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An overview of quantitative finance
Triet Pham, Rutgers University
Location: Hill 525
Date & time: Thursday, 11 October 2018 at 8:15PM - 9:30PM
Abstract: In this talk, I will discuss the field of quantitative finance from my own perspective and experience. I will spend the first part of the talk discussing derivative pricing, which is an important area in quantitative finance and naturally involves stochastic modeling. Concepts such as no-arbitrage pricing, replicating portfolio, risk neutral perspective will be presented. Examples of how these concepts are used will be given via the Binomial (discrete) and Black-Scholes (continuous) model. For the second part I will discuss risk and risk management. This area naturally involves statistical and econometric techniques. Again I will discuss the basic concepts and provide examples. A disclaimer: these two areas in no way exhaustively cover the vast field of quantitative finance and my talk will only scratch the surface of these areas, even in topics. If time permits, I will talk about the job interview process and the typical work experience of a quant finance practitioner.