Speaker:Dr. Peter Friz (Statslab)
Venue: Winstanley Lecture Theatre, Trinity College
Please note change of venue
Time: 02/02/2009 20:30, drinks from 20:15

Modern financial theory tells us that prices of options are given by expectations of the payoffs with respect to some pricing measure, typically written as infinite dimensional integrals of some functional against Wiener measure. The fast and accurate numerical evaluation of such integrals is an ongoing challenge. I will explain some recent ideas based on the Lie group structure of iterated integrals. The resulting “cubature” formulae can be traced back to no one less than Sir Isaac Newton.