CRM: Centro De Giorgi
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Summer School of Mathematics for Economic and Social Sciences

"Stochastic Processes and Stochastic Calculus with application to Economics and Finance"

12 September 2016 - 16 September 2016

Invited Speakers

[table view]

Eni Musta

Department of Applied Mathematics, University of Delft
Course: COURSE: Self-financing Portfolio, Complete and Incomplete Models
Seminar: SEMINAR: Cox, Ross & Rubinstein Option Pricing Model
Seminar: SEMINAR: Value at Risk

Maurizio Pratelli

Dipartimento di Matematica, Università di Pisa
Course: COURSE: Conditional Probability and Conditional Expectation
Course: COURSE: Construction and properties of the Brownian Motion
Course: COURSE: Discrete-time Martingales
Course: COURSE: Girsanov Theorem, the Martingale Representation Theorem and conseguences on Option Pricing Models (Samuelson-Black-Scholes)
Course: COURSE: Introduction to Interest rate models
Course: COURSE: Links with Partial Differential Equations
Course: COURSE: Random Variables and their Laws, Independence
Course: COURSE: Stochastic Integration and Ito Formula

Dario Trevisan

Scuola Normale Superiore
Course: COURSE: Markov Chains
Seminar: SEMINAR: Arbitrage and Pricing Theory
Seminar: SEMINAR: Option Pricing and Numéraires