Financial Modelling with Stochastic Partial Differential Equations
Dr. Alexander Kalinin
Schedule and Venue
| Events | Date/Time | Room |
|---|---|---|
| Lectures Dr. Alexander Kalinin | Tuesday, 14:15 - 15:45 First lecture: 16 April | B133 |
| Exercise Classes | Wednesday, 14:15 - 15:45 First exercise: 17 April | B045 |
| Additional Exercise Classes | Wednesday, 9:00 - 9:45 First exercise: 17 April | B045 |
The course is organised via Moodle at https://moodle.lmu.de . If you want to attend the course, please register in Moodle and send an e-mail from your LMU address to kalinin@math.lmu.de.
The aim of this course is to give a concise introduction to a class of parabolic stochastic partial differential equations with a particular focus on financial modelling. In the first part of the semester, we will deal with Gaussian processes, including fractional Brownian motions, Ornstein-Uhlenbeck processes and white noises, and consider the Kolmogorov-Chentsov continuity theorem in a multidimensional setting. In the second part, we will derive unique solutions to such stochastic equations, analyse their path and probabilistic properties and consider relevant applications in mathematical finance.
- Dalang R., Khoshnevisan D., Mueller, C., Nualart, D. and Xiao, Y.: A Minicourse on Stochastic Partial Differential Equations, Springer, 2009.
- Lototsky S. V. and Rozovsky, B. L.: Stochastic Partial Differential Equations, Springer, 2017.
- Röckner, M. and Liu, W.: Stochastic Partial Differential Equations: An Introduction, Springer, 2015.
All three books are available as PDF files for LMU students at the university library.
Target Participants: Master students of Financial and Insurance Mathematics or Mathematics.
Pre-requisites: Probability theory and foundations of stochastic processes in continuous time.
Applicable credits: 6 ECTS. Students may apply the credits from this course to:
- the Master in Financial and Insurance Mathematics, PO 2021 (WP 13), PO 2019 (WP 14)
- the Master in Mathematics, PO 2021 (WP 42 or WP 11 + WP 13), PO 2011 (WP 47.2+3 or WP 15)