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Financial derivatives and risk

Dr. Sebastian del Baño Rollin - 2/11/2009


  Dr.  Sebastian del Baño Rollin 
The last years have witnessed the development of derivative markets in a number of financial assets, for instance housing market indices, stock indices and currencies. We will present some of the salient features of the products traded in these markets illustrating how they can be used to transfer risk amongst participants. Trading and risk management of such transactions gives rise to some non-trivial mathematical problems which we will also present, mainly parabolic partial differential equations. We will conclude by showing how one can attempt to forecast the market by using the options market.

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