Çankaya University Mathematics Department Seminars

Stochastic Differential Equations: Theory, Examples and Applications to Finance
Yeliz Yolcu Okur
IAM, METU, Turkey
Özet : The theory of stochastic analysis have been studied on for many years. However, it becomes more popular and attractive when Black and Scholes (1973) introduced pricing formula for European vanilla call and put options by assuming the stock prices follow geometric Brownian model. In this talk, I will basically give fundamental concepts and features in stochastic differential theory. As an example of stochastic differential equations, we examine the Black and Scholes model in details. I will conclude my talk with the simulation of stochastic differential equations and applications in finance: interest rate theory and financial derivative pricing.
  Tarih : 21.10.2016
  Saat : 13:00
  Yer : Çankaya University (Central Campus), R-213
  Dil : English
  Web : http://math.cankaya.edu.tr/etkinlikler/bölüm-seminerleri