Due to the COVID-19 Pandemic, the University has instruction to cancel all in-person events through the Spring semester to adhere to city and state orders limiting public gatherings. Events still running must now take place Online— listed events will include a link in which one may access the Online webspace:

To view Mr. Fertig’s defense, enter his Online chatroom via Blackboard Collaborate— it will open at 10:00 am on Friday, April 24, 2020.

Numerical Solution of a Class of Stochastic Functional Differential Equations with Financial Applications

Mr. Laszlo Fertig
University of Wisconsin-Milwaukee
MS Graduate Student – Teaching Assistant

“After a brief review of the Euler and Milstein numerical schemes and their convergence results for stochastic differential equations (SDEs) and stochastic functional differential equations (SFDEs), the thesis next proposes two specific SFDEs. The classical Euler and Milstein schemes are developed to find the numerical solutions of these SFDEs, which are then compared with the Ornstein-Uhlenbeck and a modified Ornstein-Uhlenbeck processes. These results are further used to build four different but related stochastic models for stock prices. The fitness of these models is analyzed by comparing real market data. The thesis concludes with a numerical study for option pricing for stock models with path dependent volatilities.”

Committee Members:
Profs. Chao Zhu (Advisor); David Spade & Richard Stockbridge

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