PSU Mark
Eberly College of Science Mathematics Department

Meeting Details

For more information about this meeting, contact Peter Gael.

Title:Topics on stochastic calculus and its application
Seminar:SIAM Student Chapter Seminar
Speaker:Wen Cheng,, Department of Mathematics, Penn State University
In this talk I will present the fundamentals of option pricing. Topics that will be discussed are no-arbitrage pricing, risk neutral pricing, Black-Scholes-Merton model, Black-Scholes-Merton formula, hedging (Greeks), connections between option pricing and PDEs, exotic options (it time permits), etc. This talk will be pretty introductory, and no preliminary knowledge is required.

Room Reservation Information

Room Number:MB106
Date:03 / 03 / 2011
Time:05:00pm - 06:15pm