AIS - Martingales and Stochastic Calculus with Applications to Finance
Venue: IIT, Guwahati
Dates: 11 May 2026 to 23 May 2026
Convener(s)
| Name: | Prof. Subhamay Saha | Prof. Chandan Pal |
| Mailing Address: | Associate Professor, Department of Mathematics, IIT Guwahati, Assam, 781039. |
Associate Professor, Department of Mathematics, IIT Guwahati, Assam, 781039. |
| Email: | saha.subhamay at iitg.ac.in | cpal at iitg.ac.in |
Most real life phenomena evolve in a random fashion. In order to model such random evolution, we need the mathematical tool called stochastic processes. Martingales form a very important class of stochastic processes. In this advanced instructional school, we would like to cover the basics of discrete and continuous parameter martingales.
Another very important tool in probability theory is stochastic calculus. During the school the students will be introduced to stochastic calculus. First they will learn about Brownian motion, followed by definition and properties of Ito integration.
The focus will then shift to the applications of the above topics to the domain of mathematical finance. In this part the students will be introduced to various financial instruments. They will learn about option pricing theory both in discrete and continuous time. Finally they will be introduced to portfolio optimization theory.
Martingales and stochastic calculus part will have approximately 20 hours of lectures and finance part will have approximately 16 hours of lectures. This school is targeted towards post graduate and Ph.D students of science and engineering. Basic knowledge of probability and measure theory will be assumed.