SMS scnews item created by Christian-Oliver Ewald at Thu 22 Jul 2010 1058
Type: Seminar
Distribution: World
Expiry: 11 Aug 2010
Calendar1: 27 Jul 2010 1600-1800
CalLoc1: Carslaw 375
Auth: ewald(.amstaff;1028.1001)@p6223.pc.maths.usyd.edu.au

Financial Mathematics Seminar

Nicolas Privault (City University of Hong Kong) and Arturo Kohatsu-Higa (Osaka) will be
giving seminars (workshops) at the Uni Sydney and UNSW.  

Nicolas Privault will talk at USyd on Tuesday, July 27 (4-6 pm, Carslaw 375) and at UNSW
on Friday, July 30 (2-4 pm, room will be announced later).  

 Title: Stochastic analysis for continuous and jump processes (Part 1 and 2) 

 Abstract: We present a unified approach to the main tools of stochastic analysis (chaos
expansions, gradient and divergence operators, integration by parts) in the framework of
normal martingales, which includes Brownian motion and Poisson processes as particular
cases.  Applications will be given to deviation inequalities, and to hedging and
sensitivity analysis in mathematical finance.  

Arturo Kohatsu-Higa will talk at UNSW on Friday, Aug.  6th (2-4 pm) and at USyd on
Tuesday, August 10th (4-6 p.m.  Carslaw 375) 

 Title: Simulation of Levy driven SDEs 

Everyone is cordially invited to attend.  We will also have a regular (informal)
Financial Mathematics seminar during the term on Tuesday 4-6 p.m, in Carslaw 375.


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