Department of Mathematics
Mathematics in Science & Society
by
Prof. Steve Shreve

Stochastic calculus models are used in finance to price and hedge derivative securities (e.g., the Black-Scholes-Merton formula), to quantify the trade-off between yield and risk in portfolios (e.g., mean-variance analysis), and to construct equilibrium-based models of markets. This talk will present the main features of these models and explain several of their applications.