Statistics Colloquium

THE DEPARTMENT OF MATHEMATICAL SCIENCES AND
THE CENTER FOR APPLIED MATHEMATICS AND STATISTICS,
NEW JERSEY INSTITUTE OF TECHNOLOGY

4:15 PM
Wednesday, December 3, 2003

Cullimore Hall Room 611
New Jersey Institute of Technology





Glenn Shafer

Rutgers School of Business (Newark Campus)
Rutgers University

" Probability & Finance : a Game-Theoretic Foundation for Probability "

In a recent book, Probabilty and Finance: It's Only a Game! (Wiley 2001), Vladimir Vovk and I proposed replacing the measure-theoretic foundation for probability theory with a game-theoretic foundation. This can be thought of as a unification of the theories of probability and finance. In this talk, I will outline our idea, explain how we handle the strong law of large numbers and the central limit theorem, and discuss applications to option pricing and finance theory. Those who want to look at chapters from the book or reviews of it before the talk may find them at www.probabilityandfinance.com.