THE REES DISTINGUISHED LECTURER SERIES
March 5, 2009
3:30 – 4:30 pm
117 Gore Hall
TITLE: A Streetwise Gambler Goes to Wall Street
Professor J. Michael Steele
Department of Statistics, Wharton School
The University of Pennsylvania
ABSTRACT
The most famous formula in mathematical finance is the Black-Scholes formula. In this talk we'll go over the "story" behind this formula --- what it is, why it works (when it does), and some curious features about the way it has influenced our world. There are no financial prerequisites, but it helps to prefer more money over less. The mathematical prerequisites are also modest, but it will be most informative to people who already have an intuitive understanding of the mean and variance of a random quantity.
March 6, 2009
3:30 – 4:30 pm
117 Gore Hall
TITLE: Probability Theory of Minimal Spanning Trees
Professor J. Michael Steele
Department of Statistics, Wharton School
The University of Pennsylvania
ABSTRACT
Given a graph with weights assigned to the edges, the minimal spanning tree is the subgraph with least total edge weight such that one can go from any vertex to any other vertex along the edges of the subgraph. Such graphs occur throughout the theory of algorithms and the theory of combinatorial optimization. This talk will survey some of the many engaging result that are known about such subgraph when the edge weights are determined by a probability model.