The fall of LTCM: Bachelier, Merton, and Black–Scholes ... when stochastic control met Wall Street

Erschienen: 15.07.2026
Dauer: 01:00:50

Outline 00:00 - Intro 02:25 - Bachelier and the Théorie de la Spéculation 03:05 - Stochastic processes, Brownian motion, and the heat equation 09:45 - Poincaré's verdict, obscurity, and rediscovery 13:50 - Robert C. Merton: from hot rods to MIT 19:25 - Dynamic programming and Itô calculus 24:35 - Merton's portfolio problem as stochastic optimal control 31:10 - Options, dynamic hedging, and the Black–Scholes–Merton equation 39:50 - LTCM: the dream team 46:30 - August 1998: the crash 49:00 - Fa...

Weitere Informationen und umfangreichere Shownotes gibt es ggf. auf der Podcast-Website.

Podcast-Website: Episode "The fall of LTCM: Bachelier, Merton, and Black–Scholes ... when stochastic control met Wall Street"