Mathematics and Computer Science Speaker Series
California State University, Stanislaus
 
Date: Friday, April 29, 2011
Time:
4:00 - 5:00 p.m
Room: P-164


Speaker:  Scott Nickleach

Title: 
Stochastic Calculus and its Role in Financial Mathematics

Abstract:
  Just when you finally get a firm grip on Riemann integrals, you
might well encounter any of numerous other types, including one called the
Ito integral. This talk comprises an introductory presentation on
stochastic calculus and Ito integrals, with applications pertaining to
financial engineering. In particular, we illuminate the difference between
"ordinary" calculus and stochastic calculus, and apply the latter in
conjunction with Monte Carlo simulation to some basic problems in
financial mathematics.