Seminario del 2016

Maggio
17
2016
Jerome A. Goldstein
The PDEs of mathematical finance
analisi matematica
Abstract We will discuss three one space dimensional time dependent linear parabolic equations: the heat equation, the Black-Scholes equation (describing stock options) and the Cox-Ingersoll-Ross equation (describing bond markets). New results will involve representation of the solution semigroups, chaotic properties of the semigroups, and a new kind of Feynman-Kac type representation of the solution for the CIR equation.
organizzato da: Angelo Favini
nell'ambito del Progetto R.F.O. 2014 del prof. Angelo Favini

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