Seminar Black Scholes Formula 13 May 2008
Marc Yor  (Huxley Building) London Imperial College
Abstract: For a given strike level K, the put version of the Black-Scholes formula may be interpreted as the distribution function of the last passage time at K of geometric Brownian motion.

Learn more

Seminar Wiener-Hopf factorization 14 May 2008
Sergey Levendorskiy ,  Imperial College
Abstract : The Wiener-Hopf factorization as a general method for valuation of American and barrier options

Learn more

Seminar A New approach to liquidity risk 28 May 2008
Giacomo Scandolo , Imperial College
Abstract : The Wiener-Hopf factorization as a general method for valuation of American and barrier options

Learn more