Mathematics of risk management

Saturday, February 5, 2005 - 11:15am - 11:45am
Lind 409
Diana Woodward (Gorilla Science)
In 1996, I made the transition to Wall Street from academia, where I had been an assistant professor of mathematics for almost 10 years. Based on my
experiences, I will give an overview of some of the jobs available to mathematicians on the sell-side and
buy-side of the street: from investment banking to hedge fund management. I will then briefly discuss the mathematical skills needed to work in quantitative
finance today, and introduce the basic mathematical framework of quantitative finance. I will present some
of the numerical and analytical research problems I have worked on in stochastic volatility modeling and credit derivatives, and potential research directions in these areas.