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Martingales, Brownian Motions, and Levy Processes.
Prof. Narn-Rueih Shieh ( Department of Mathematics, National Taiwan University )

2008 - 05 - 09 (Fri.)
09:30 - 10:40
308, Mathematics Research Center Building (ori. New Math. Bldg.)

In this talk, we shall talk on martingales, with view on the Doob-Meyer Decompotion. Then we talk on Brownian motion, with view on its martingale properties. Finally we introduce Levy processes via Brownian first passage times.

Time:April 11 - July 25, 2008
Room:
Organizer:Narn-Rueih Shieh ( Department of Mathematics, National Taiwan University )

Available Talk List

2008-04-11 (Fri.)		An introduction to stochastic calculus
2008-04-18 (Fri.)		An introduction to financial models and risk management
2008-05-09 (Fri.)		Martingales, Brownian Motions, and Levy Processes.
2008-05-16 (Fri.)		Applications of Martingale Theory to Finance
2008-05-23 (Fri.)		Solving optimal investment problems with Cox-Ingersoll-Ross's interest rate