Graduate Student Seminar

Stochastic Integrals and Some Applications

Kevin Lin, University of Rochester

Thursday, April 6th, 2017
5:00 PM - 6:00 PM
Hylan 1106A

Stochastic integrals are an important tool in probability theory, forming the foundation of the study of stochastic differential equations (SDEs). These equations have applications in a variety of fields, from finance and econometrics to studying biological and geological models. In this talk, I will introduce the stochastic integral and discuss applications to financial derivatives pricing.

Event contact: uyigit at ur dot rochester dot edu