Quant界权威人士Peter Carr 在Thanks Giving 期间来我所在的学校的Financial Engineering项目做的讲座。由于前一段时间兄弟我特别忙，就才倒出空传上来。

Formal Introduction:

讲座题目： An Alternate History of the Black-Scholes PDE----金融工程系列讲座

讲座者： Peter Carr,  Global Head of Market Modeling, Morgan Stanley, New York

讲座内容： 本文讲述了原本在1973年发现的大名鼎鼎的Black-Scholes公式，其实在1968年的时候，利用当时的学术水平就可以用另一种方法被发现，颇令人震惊。

Summary:

The Black Scholes partial differential equation (PDE) was first published in 1973, having been derived

previously by Black in 1969. This linear PDE is celebrated primarily because it is independent of the

attitudes towards risk of investors in the economy. In 1968, Black derived a nonlinear PDE that shares

this fundamental risk-neutral property. We show that the famous linear PDE could have been derived

from the nonlinear PDE using financial and mathematical concepts available in 1968.

附件里分别是： 1. Lecture Notes    2. Formal Thesis。

文件版权归 Peter Carr 所有。