O que os físicos fazem em bancos de investimento?

  • Data: 7/03
  • Hora: 11h
  • Apresentador: Sergio M. Dutra – Commerzbank - Londres

Panorama informal do dia a dia prático de um quant (engenheiro financeiro) em um banco de investimentos. Como funciona um banco de investimento e porque ele precisa de quants. Porque os físicos dão bons quants. As ferramentas da física que são usadas na engenharia financeira. A base da teoria de preços de derivativos: Movimento Browniano e Black-Scholes nas costas de um envelope. Uma pincelada sobre os problemas atuais de modelagem financeira como a descrição do smile e o cálculo de derivativos canceláveis usando Monte Carlo.

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