Prof. Robert Buchanan (’83) from Millersville University discusses “Brownian Motion, the Heat Equation, and Option Pricing”. The 1997 Nobel Prize in economics was shared by Robert Merton and Myron Scholes for their 1973 work with Fischer Black on the pricing of financial instruments known as options. The Black-Scholes option pricing formula enables investors to manage risk in financial markets. The history of the development of the Black-Scholes formula involves many contributors from many fields including botany (Robert Brown), physics (Albert Einstein), and mathematics (Louis Bachelier, Norbert Wiener, and Kiyoshi Ito). This presentation traces the development of the Black-Scholes formula from principles in elementary probability, calculus, economics, and mathematical physics. Refreshments will be served in the Dana lobby at 4:15 p.m. The lecture begins at 4:30 p.m. in Dana 146.
Dana Science Classroom-146
Fabros, Susan L