Friday, 25 April 2008 at 12:00PM
Barnard's Inn Hall

Topics in the History of Financial Mathematics: Early Commerce To Chaos In Modern Stock Markets

Presented by Professor Doyne Farmer

The event looks at the development of mathematics in a commercial and financial context. Starting with early commerce, through to the development of double entry book keeping, (Amatino Manucci), development of accounting (Luca Pacioli), theory of speculation (Louis Bachelier), history of optimisation, cash and foreign exchange, Black Scholes option pricing models, chaos and misbehaviour of markets with interesting twists. The event is chaired by Michael Mainelli and Simon Gardiner. The emphasis is on the historical development of mathematical techniques. This event will be of interest to students of accountancy, actuarial sciences and financial mathematics; historians of mathematics and commerce; practising accountants, actuaries and academics, and interested members of the public.

This event was held by the British Society for the History of Mathematics jointly with Gresham College.

Conference speakers
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J. Doyne Farmer is a professor at the Santa Fe Institute. He has broad interests in complex systems, and has done research in dynamical systems theory, time series analysis and theoretical biology. At present his main interest is in developing quantitative theories for social evolution, in particular for financial markets (which provide an accurate record of decision making in a complex environment) and the evolution of technologies (whose performance through time provides a quantitative record of one component of progress). He was a founder of Prediction Company, a quantitative trading firm that was recently sold to the United Bank of Switzerland, and was their chief scientist from 1991 - 1999. During the eighties he worked at Los Alamos National Laboratory, where he was an Oppenheimer Fellow, founding the Complex Systems Group in the theoretical division. He began his career as part of the U.C. Santa Cruz Dynamical Systems Collective, a group of physics graduate students who did early research in what later came to be called "chaos theory". In his spare time during graduate school he led a group that designed and built the first wearable digital computers (which were used to beat the game of roulette). For popular press see The Newtonian Casino by Thomas Bass, Chaos by Jim Gleick, Complexity by Mitch Waldrup, and The Predictors by Thomas Bass.

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Professor Dietmar Maringer is Professor of Computational Management Science, University of Basel.

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From 1988 to 2006, Professor Biggs was Professor of Mathematics at the London School of Economics, where he was also Director of CDAM, the Centre for Discrete and Applicable Mathematics. Norman has written 13 books and over 100 papers on mathematical topics, many of them in algebraic combinatorics and its applications. He became Emeritus Professor in 2006 and continues to teach MA318 History of Mathematics in Finance and Economics for undergraduates.

He is a member of the Editorial Board of the Journal of Algebraic Combinatorics and a former General Secretary and member of the Council of the London Mathematical Society.

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Professor Robin Wilson is Emeritus Gresham Professor of Geometry, a professor in the Department of Mathematics at the Open University, and a Stipendiary Lecturer at Pembroke College, Oxford. Professor Wilson also regularly teaches as a guest Professor at Colorado College.

Professor Wilson's academic interests lie in graph theory, particularly in colouring problems, e.g. the four colour problem, and algebraic properties of graphs. He also researches the history of mathematics, particularly British mathematics and mathematics in the 17th century and the period 1860 to 1940 and the history of graph theory and combinatorics.

Outside of the strict mathematical canon, Professor Wilson is particularly interested in the musical output of Gilbert and Sullivan - an interest that has given rise to publications and two Gresham College lectures: 'The Other Side of Sullivan' and 'A Sing-In with Gilbert and Sullivan'.

Prior to his appointment as Gresham Professor of Geometry in 2004, he was the Visiting Professor in the History of Mathematics. Upon his appointment to the Geometry chair, Professor Wilson said: "Mathematics is, and has always been a central part of human culture, and I do not believe that one can fully understand the subject if it is separated from its historical roots. My proposed lectures are designed to support this conviction."

All of Professor Wilson's past lectures can be accessed here.

Current Gresham Professor of History of mathematics

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Professor of Financial Mathematics within the Mathematics Department at the King's College London, William Shaw received his doctorate in mathematics from the University of Oxford, following which he held post-doctoral positions at the University of Cambridge and M.I.T. He then worked as a consultant applied and financial mathematician before joining the Quantitative Analysis Group of Nomura International plc, where he was a specialist in computational finance and equity derivatives modelling. At the same time he held a post as College Lecturer at Balliol College, Oxford. He was later Fellow and Tutor in Applied Mathematics at St. Catherine's College, Oxford, while also University Lecturer in Mathematical Finance and Academic Director of the Oxford Diploma and MSc in Mathematical Finance.

Professor Shaw directs the KCL Centre for Financial Grid Computing, which is a member of the Apple Research and Technology Support (ARTS) programme. His research interests include: Fat-tailed distributions and their financial origins; The theory of quantiles for Monte Carlo simulation; Applications of complex analysis to finance and applied mathematics; Performance indicators for stock selection, including robust and genetic approaches; Optimization; Convertible bonds; Computational finance, especially symbolic methods. From time to time he also works on fluid mechanics, applied electromagnetics, complex variables and twistor models of string theory. He has written 3 books on applications of computer algebra, including "Modelling Financial Derivatives with Mathematica". He is a Fellow of the Institute of Mathematics and its Applications and is co-editor in chief of Applied Mathematical Finance. He is also an Associate Editor of the International Journal of Theoretical and Applied Finance and a member of the Scientific Committee for the Knowledge Transfer Network in Industrial Mathematics.

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Mark Davis is a Professor of Mathematics at Imperial College London, specializing in stochastic analysis and financial mathematics, in particular in credit risk models, pricing in incomplete markets and stochastic volatility. He also acts as a consultant to Hanover Square Capital Partners, a newly-founded capital markets company. From 1995-1999 he was Head of Research and Product Development at Tokyo-Mitsubishi International, leading a front-office group providing pricing models and risk analysis for fixed-income, equity and credit-related products. Professor Davis holds a PhD from the University of California, Berkeley and is the author of three books on stochastic analysis and optimisation. He was a founding co-editor of the journal Mathematical Finance (1990-93) and is currently an  associate editor of Quantative Fianance. He was awarded the Naylor Prize in Applied Mathematics by the London Mathematical Society in 2002.

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Dr Fenny Smith is an independent scholar in Italian Renaissance algebra, with associated knowledge of ancient and medieval numerical notation and arithmetic techniques.

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Alderman Professor Michael Mainelli is Emeritus Mercers' School Memorial Professor of Commerce at Gresham College, having held the chair from 2005 to 2009. His first degree was in Government from Harvard, followed by mathematics and engineering studies at Trinity College Dublin and a PhD from the London School of Economics in chaotic systems, where he was also a Visiting Professor.

Professor Mainelli is Executive Chairman of Z/Yen, the City of London’s leading commercial think-tank and venture firm, which he co-founded in 1994 to promote societal advance through better finance and technology. A qualified accountant (FCCA), securities professional (FCSI), computer specialist (FBCS) and management consultant (FIC), Michael began his career as a research scientist in aerospace (rockets) and computing (architecture & mapping). He later became a senior partner with accountants BDO Binder Hamlyn directing global consulting projects. During the 1990s he worked for the UK Ministry of Defence as Corporate Development Director for Europe’s then largest R&D firm, the Defence Evaluation & Research Agency leading to two privatisations. Career highlights include directing Z/Yen’s Long Finance initiative with Gresham College and the City of London Corporation asking “when would we know our financial system is working?” as well as creating the Global Financial Centres Index, Global Intellectual Property Index, London Accord and Farsight Award. Michael also conceived and produced the first complete digital map of the world in 1983, Mundocart (a 1980’s Google Earth), and the $20 million Geodat consortium cartography project.

Michael is non-executive Director of the United Kingdom Accreditation Service (UK’s national body for standards and laboratories), AIM-listed Sirius Minerals plc (potash mining), AIM-listed Wishbone Gold Plc; Alderman for Broad Street Ward (elected) at the City of London Corporation; Almoner for Christ’s Hospital School; Trustee of International Fund for Animal Welfare. Michael has held numerous advisory posts, for example with Hitachi UK, City University and HM Treasury. Michael won a 1996 UK Foresight Challenge award for the Financial Laboratory, 2003 UK Smart Award for prediction software, 2005 British Computer Society Director of the Year, 2011 Technology Strategy Board Challenge Award for financial avatars, and was awarded Gentiluomo of the Associazione Cavalieri di San Silvestro in 2011. Michael is a Liveryman, Worshipful Company of World Traders, Freeman, Watermen & Lightermen, and represents the Financial Services Group of Livery Companies.

Michael has published over 40 journal articles, 150 commercial articles and four books. Michael’s humorous risk/reward management novel, Clean Business Cuisine: Now and Z/Yen, written with Ian Harris, was a Sunday Times Book of the Week in 2000; Accountancy Age described it as “surprisingly funny considering it is written by a couple of accountants”. Their third co-authored book, The Price of Fish: A New Approach to Wicked Economics and Better Decisions, based on his Gresham lectures, won the 2012 Independent Publisher Book Awards Finance, Investment & Economics Gold Prize. Michael plays bagpipes, loves skiing and sailing and, with his wife, Elisabeth, he races and restores the 1923 Thames Sailing Barge Lady Daphne and sits on the world’s oldest sailing racing body, the Thames Match Committee. With an international family, Michael speaks English, German, French and Italian poorly, but even worse Spanish and Chinese.

To access all of Professor Mainelli's previous Gresham College lectures, please click here.

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Conference lectures
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Part One - 'The Influence of Amatino Manucci and Luca Pacioli' and 'Louis Bachelier and his Theory of Speculation'

Alderman Professor Michael Mainelli
Friday, 25 April 2008 - 1:00PM
WATCHED
Part of a conference

Part Two - 'History of Optimization'

Simon Gardiner
Friday, 25 April 2008 - 2:00PM
WATCHED
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Part Three - 'Mathematics and Foreign Exchange' and 'When Computing Met Finance'

Professor Robin Wilson
Friday, 25 April 2008 - 3:00PM
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Part Four - 'Physics vs Mathematics: Rigor(Mortis) and other impediments to understanding financial markets'

Alderman Professor Michael Mainelli
Friday, 25 April 2008 - 4:00PM