Mathematical finance

Tuesday, September 21, 2010 - 7:00pm - 8:00pm
Andrew Lo (Massachusetts Institute of Technology)
As disruptive as the financial crisis has been, the important lessons to be learned from the spectacular failure of financial technologies gone awry may actually pave the way for some of the most significant achievements of the 21st century. In this talk, Prof. Lo will provide a brief overview of the origins of the crisis, the key role that mathematics played, and how a deeper understanding of human nature may allow financial engineers to focus the enormous power of global financial markets on some of society's most pressing challenges.
Friday, May 18, 2012 - 11:00am - 11:45am
Matheus Grasselli (McMaster University)
The Keen model consists of a dynamical system describing the interactions between wages, employment rate, and debt in a closed economy. It exhibits one equilibrium where all variables remain finite and another where wages and employment collapse to zero while debt explodes to infinity, both of which are locally stable for typical parameter values. The introduction of a variable representing Ponzi speculation has the effect of destabilizing the first equilibrium, corresponding to a mathematical formulation of Minsky's famous financial instability hypothesis.
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