For more information about this meeting, contact Peter Gael, Jingyan Zhang.
| Title: | Topics on stochastic calculus and its application |
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| Seminar: | SIAM Student Chapter Seminar |
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| Speaker: | Wen Cheng,, Department of Mathematics, Penn State University |
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| Abstract: |
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| 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 |
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| Date: | 03 / 03 / 2011 |
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| Time: | 05:00pm - 06:15pm |
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