Event Date:
Monday, May 9, 2011 - 3:30pm to 5:00pm
Event Date Details:
Refreshments served at 3:15 PM
Event Location:
- South Hall 5607F
Yuri Saporito (PSTAT-UCSB)
Title: Functional Ito's Calculus a la Dupire
Abstract: This talk will present some results of an extension of the Itô Calculus to functionals of the current path of a stochastic process. These results were first presented by Dr. Bruno Dupire in his paper "Functional Itô Calculus", which is the main reference for the talk. We will also discuss the possible applications to Finance.
May 2, 2017 - 3:30pm