Posted on 16/02/2010
Nobel Prize winner Robert Merton will discuss the economic crisis at Royal Holloway
This year the annual Kolmogorov Lecture will be given by Nobel Prize winner Professor Robert Merton, from Harvard Business School. In the lecture – held at Royal Holloway, University of London on February 23 – Professor Merton will discuss the economic crisis and the important role of financial innovation and regulation in the future beyond the economic crisis. The abstract and further details are available athttp://www.kolmogorov.clrc.rhul.ac.uk
The Kolmogorov Lecture is given annually by distinguished researchers in the field of theoretical computer science, or related mathematical sciences, who made outstanding contributions to developing research directions initiated by Andrei N. Kolmogorov.
The lecture, entitled 'Observations on the Science of Finance in the Practice of Finance: Past, Present and Future', has been organised by Royal Holloway’s Computer Learning Research Centre.
Director of the Centre, Professor Alex Gammerman, explains: “Andrei Kolmogorov is widely regarded as a founder of the theory of stochastic processes. One of the most spectacular applications of the theory of stochastic processes is to the theory of pricing financial derivatives originated in the work by Robert Merton in collaboration with Myron Scholes and Fisher Black”.
Professor Merton, with Scholes and Black, developed a pioneering formula for the valuation of stock options. This methodology has paved the way for economic valuations in many areas, and thousands of traders and investors now use the formula every day to value stock options in markets throughout the world. It has also generated new types of financial instruments and facilitated more efficient risk management in society. The method has become indispensable in the analysis of economic problems.