SMS scnews item created by Christian-Oliver Ewald at Thu 29 Jul 2010 0959
Type: Seminar
Distribution: World
Expiry: 31 Jul 2010
Calendar1: 30 Jul 2010 1400-1600
CalLoc1: UNSW Red Centre, Room 3084
Auth: ewald(.amstaff;1028.1001)@p6223.pc.maths.usyd.edu.au

Financial mathematics Seminar: Nicolas Privault -- Stochastic Analysis for Continuous and Jump Processes (Part 2)

Prof.  Nicolas Privault will continue his seminar from Tuesday on on Friday, July 30
(2-4 pm, Red Centre, Room 3084) at UNSW.  Abstract below.  

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.

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