Properties of Brownian Motion with Applications in Finance by Michael Giove '24

Properties of Brownian Motion with Applications in Finance by Michael Giove ’24, Wednesday March 13, 1:00 – 1:50pm, North Science Building 113, Wachenheim

Abstract: This talk will extend upon topics in basic probability theory to cover stochastic processes in both discrete-time and continuous-time. Stochastic processes can be used to model systems that vary randomly in fields such as biology, physics and computer science. One of the most studied stochastic processes is the Wiener Process (also known as Brownian Motion) which has famously been used to study the random motion of particles suspended in a fluid, as well as the random fluctuations of stock prices in financial markets. We will be covering the foundations of the Wiener process, where it comes from, and some of its more useful properties. The talk will conclude with a discussion around applications of Brownian Motion in finance, and specifically, how stochastic processes are used to model options prices using the Black-Scholes equation.