Affine and Polynomial Processes

Motivating examples: classical and recent ones

Classe di Scienze Matematiche e Naturali
Mercoledì, 21 Giugno 2017
Ore 9:00
Aula Mancini
Josef Teichmann (ETH Zurich)

Several examples from mathematical Finance and other areas of applications are considered (Pricing and Hedging; Credit Risk; representation of non-linear PDEs; rough volatility)