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
|Date:||03 / 03 / 2011|
|Time:||05:00pm - 06:15pm|