Fernández, José Luis; Matematični kolokvij september 2006

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Pricing of financial instruments

José Luis Fernández

Universidad Autónoma de Madrid

Analistas Financieros Internacionales

21. september 2006


Some twenty years ago financial institutions started to hire mathematicians to work as ... mathematicians. One area, among many, within such an institution where they are particularly useful (indispensable) is the pricing of financial instruments consistently with market prices. The purpose of this lecture is to develop the general mathematical theory supporting mark-to-market pricing and the corresponding praxis.

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