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The Actuary The magazine of the Institute & Faculty of Actuaries

Did mathematics really blow up Wall Street?

Paul Embrechts, Hon FFA and Hon FIA, is professor of mathematics at the Swiss Federal Institute of Technology (ETH) Zurich and, not surprisingly for a Swiss-based mathematician, is an expert in financial risk management. He was warning about the limitations of some of the mathematical models used in finance long before most of us had even heard of ‘collateralised debt obligations’.

In this talk, Professor Embrechts will review what went wrong, why it went wrong and how another credit crisis can be avoided in the future by finance and mathematicians working more closely. This public lecture will be held on Thursday 8 April from 11.30–12.30, in the George Square Lecture Theatre, University of Edinburgh, during Maths 2010, the joint meeting of the 2010 British Mathematics Colloquium and British Applied Mathematics Colloquium. These are the leading annual UK mathematics conferences, taking place this year in Edinburgh from 6-9 April.

As part of the joint meeting, there is also to be a mini-symposium on financial mathematics on Thursday 8 April. More information on the conference can be found on www.maths2010.org.uk, and details about the public lecture are available through the Edinburgh International Science Festival’s website at www.sciencefestival.co.uk.