Title: Tutorial on Stochastic Calculus
Speaker: Florian Locker
Affiliation: Institute for Statistics and Mathematics of WU
Location: CPSE seminar room (C615 Roderic Hill)
Time: 2:00pm

Abstract. This tutorial session provides an introduction to stochastic calculus along the lines of the Merton model for asset pricing. Some properties of the components of this model will be explained and used to construct basic stochastic integrals. I will then proceed with the most important theorems in the general case, notably Itō’s lemma, and evaluate some examples.

About the speaker. Florian studied economics and finance at the University of Innsbruck and Tulane University and joined the Institute for Statistics and Mathematics at WU Vienna as a PhD student in 2008. He is interested in methods concerning the hedging of derivative assets within incomplete markets and when assets exhibit jumps, and their numerical implementation. He is currently visiting the QUADS research group at Imperial College.