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X-WR-CALNAME:Computational Optimisation Group
X-ORIGINAL-URL:http://optimisation.doc.ic.ac.uk
X-WR-CALDESC:Events for Computational Optimisation Group
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DTSTART:20110101T000000
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DTSTART;TZID=UTC:20120515T140000
DTEND;TZID=UTC:20120515T140000
DTSTAMP:20260418T144816
CREATED:20170124T102148Z
LAST-MODIFIED:20170124T102148Z
UID:604-1337090400-1337090400@optimisation.doc.ic.ac.uk
SUMMARY:Seminar: Tutorial on Stochastic Calculus
DESCRIPTION:Title: Tutorial on Stochastic CalculusSpeaker: Florian LockerAffiliation: Institute for Statistics and Mathematics of WULocation: CPSE seminar room (C615 Roderic Hill)Time: 2:00pm \nAbstract. 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. \nAbout 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.
URL:http://optimisation.doc.ic.ac.uk/event/seminar-tutorial-on-stochastic-calculus/
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