Abstract: 

This talk will start with a review of the framework of stochastic analysis, based on mutually adjoint gradient and divergence operators on a probability space, in relation with the stochastic integral representation of random variables. I will then consider several applications including hedging and sensitivity analysis in finance, convex ordering and bounds on option prices, superefficient drift estimation, moments and invariance for Poisson stochastic integrals, and probability approximations.

Speaker

A/Prof Nicolas Privault

Research Area
Affiliation

Nanyang Technological University (Singapore)

Date

Wed, 10/04/2013 - 4:00pm to 5:00pm

Venue

RC-M032, Red Centre Building