Financial Modelling with Stochastic Partial Differential Equations
Dr. Alexander Kalinin
Dr. Alexander Kalinin
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.
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: