The National Centre for Econometric Research (NCER) will hold a short course in Stochastic Calculus at QUT, on Thursday 6 and Friday 7, and continuing on Monday 10 and Tuesday 11 December, 2012.

Everyone is welcome to attend and there is no charge for QUT staff and higher degree research students, and participants from NCER’s institutional partners.

All other interested persons need to pay $500 which will cover the material for the course and morning tea for all days. (Registrants will need to purchase their own lunch.) Please see Enquires and Registrations for further details regarding payment.

All participants are required to contact the NCER Administration Coordinator for registration.

The course will be held in the following rooms at Gardens Point Campus, QUT. (Please see the Gardens Point map for location information.)

Thursday 6 December - S405, S Block, Level 4
Friday 7 December - Z1064 Dennis Gibson Room, Z Block, Level 10
Monday 10 December - O.J. Wordsworth Room, S Block, Level 12
Tuesday 11 December - O.J. Wordsworth Room, S Block, Level 12

Course Convener

Professor Kenneth Lindsay, QUT and Honorary Senior Research Fellow, University of Glasgow

Kenneth Lindsay received an undergraduate degree in Mathematics and Natural Philosophy from the University of Glasgow, Scotland, and a D.Phil in Continuum Mechanics and Thermodynamics from the University of Oxford (Merton College). His early work concerned aspects of nonlinear wave propagation leading to shock wave formation. Later research involved the use of spectral analysis and energy methods to study the stability of fluid convection driven by heating and other destabilising mechanisms followed by work in linear and second order elasticity based on the use of integral transform methods. His most recent research is concerned with the use of mathematics in Neuroscience and in Finance. The important theme unifying what appear at first sight to be very different disciplines is the inherent stochastic nature of the underlying problems. The treatment of this stochasticity requires analyses based on the theory of point processes for discrete processes and stochastic differential equations in the case of continuous processes.

Course Summary

This is a four day intensive course that will be appropriate for postgraduate students and staff who wish to brush up on their understanding of the main ideas in stochastic calculus. The format of the course will be made up of a two and half hours lecture in the morning and a one and half hours practical examples class in the afternoon. The course is scheduled for December 6 7 10 and 11.

The course will cover the following topics.

  1. The concept of randomness
  2. The Wiener process and Brownian motion
  3. Stochastic differential equations
  4. Review of integration
  5. Ito's Lemma
  6. Well known SDEs in finance and their solution
  7. Kolmogorov forward and backward equations
  8. Girsanov's theorem and the Radon-Nikodym derivative
  9. Numerical solutions of SDEs
  10. Jump diffusions

Course Times

9:30 am to 12:30 am - Lecture (includes morning tea)
1:30 pm to 3:00 pm - Practical examples

Enquiries & Registration

For further details please contact the NCER Administration Coordinator:

Angela Fletcher
Queensland University of Technology
Email: a.fletcher@qut.edu.au
Phone: 07 3138 1050