INTERMEDIATE MATHEMATICS:
Understanding Stochastic Calculus

Lecturer

Dan Crisan is a Reader at Imperial College London. His expertise is in the area of Stochastic Analysis with applications in Engineering and Finance. He has published over 20 articles in journals world-wide and his current research involves developing high-order numerical algorithms for solving stochastic differential equations, approximating schemes for backward SDEs and particle methods for nonlinear filtering. His book on Stochastic Filtering will be appearing at Springer Verlag by the end of the year and he is currently involved in editing an advanced handbook on Nonlinear Filtering. Dr Crisan is a member of the editorial board of the LMS Journal of Mathematics and Computation. He has developed and is currently teaching a course on Numerical Stochastics within the MSc programme in Mathematical Finance at Imperial College London.