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.