Financial Math Seminar
Robert Waelder
UIC
Stochastic Calculus and Financial Math
Abstract: Stochastic calculus provides a framework for applying the tools of differential calculus to the study of random paths with
continuous trajectories. These techniques are extremely useful for calculating the fair value of financial contracts, since
the pay-off of a financial contract is typically a function of some continuous random path (like a stock price or an interest
rate). In this seminar, we will develop the basic tools of Ito calculus from the ground up, and apply them to the study of options,
futures, and some more exotic financial instruments.
This announcement is for the first of a sequence of seminars to be held MW 1-2 in room 427.
Monday August 24, 2009 at 1:00 PM in SEO 427