Public Lectures on Probability and Finance by Glenn Shafer, January 28--April 29, 2002.

During the Spring 2002 semester, Glenn Shafer will give a series of public lectures explaining the main ideas in his recent book with Volodya Vovk, Probability and Finance:  It's Only a Game  (http://www.cs.rhul.ac.uk/home/vovk/book/).  The lectures will be on Mondays, from January 28 through April 29, at 2:00 pm in Room 215 MEC (Management Education Center) in Newark.  For directions to the Management Education Center, see http://www.rutgers.edu/kiosk/findplaces.shtml.

Here is a tentative list of topics for the lectures. 

1.  January 28.  Introduction to Game-Theoretic Probability 

Download Glenn’s transparencies:  postscript or pdf or rtf

2.  February 4.  The Martingale Proof of the Strong Law of Large Numbers 

Download Glenn’s transparencies:  postscript or pdf or rtf

3.  February 11.  The Game-Theoretic Capital Asset Pricing Model 

Download article by Vovk and Shafer:  http://www.cs.rhul.ac.uk/home/vovk/book/

Download Glenn’s transparencies:  postscript (no pdf file available)

4.  February 18:  Probability, Price, and the Central Limit Theorem

Download Glenn’s transparencies:  postscript or pdf

5.  February 25:  Black-Scholes Pricing:  Stochastic and Game-Theoretic

Download Glenn’s transparencies:  postscript or pdf

6.  March 4:  Lindeberg and Bachelier

7.  March 11:  Hedging Error in Discrete Time

March 18:  Spring Break for Rutgers

8.  March 25:  Introduction to Non-Standard Analysis

9.  April 1:  Game-Theoretic Black-Scholes Pricing in Continuous Time

10.  April 8:  The One-Sided Central Limit Theorem and American Options

11.  April 15:  Game-Theoretic Statistics

12.  April 22:  Game-Theoretic Causality

13.  April 29:  Game-Theoretic Probability in Economics