Orateur
M.
Marek Musiela
(Oxfor Man Institute)
Description
Mathematical models are developed to capture market behaviour at a point in time and are used to
gain competitive advantage over time. In the option business, for example, they are calibrated to
liquid information and used to price and trade more exotic and hence less liquid products. However
market liquidity changes over time, it can increase or evaporate depending on the economic
conditions. This is one of the factors that drive evolution of models which need to be adapted to the
changing market conditions.
In this talk I will use the evolution of classical option pricing models as an example of the feedback
loop: from academia to industry and back.
Auteur principal
M.
Marek Musiela
(Oxfor Man Institute)
