Xiaochang Wang

Brownian Motion

Date: Thursday, February 15, 2018

We will introduce the basic theory of the Brownian motion and its several properties which are related to the stochastic integral at first. Then we will combine the classical Black-Scholes model with the Brownian motion and derive the pricing formula of the European options in the Black-Scholes model.

Important Dates

February 19: Louis Riel Day (University Closed)

February 19 – February 23: Reading Week (No classes)

Upcoming Exam

MATH 1500 Midterm
Thursday, March 1 at 5:40 p.m.

Upcoming Seminars

Combinatorics seminar:
Shonda Gosselin: Metric Dimension of Circulant Graphs and Cayley Hypergraphs
Friday, March 9 at 15:30, 415 Machray Hall.

Combinatorics seminar:
Ben Li: TBA
Friday, March 16 at 15:30, 415 Machray Hall.

Colloquium talk:
Hadrien Montanelli: Pattern formation on the sphere
Friday, March 23 at 14:30, 418 Machray Hall.