SpeakerStephane CrepeyMathematics Department, Evry University, Evry, Francehttp://grozny.maths.univ-evry.fr/pages_perso/crepey/ Description We construct a Markovian set-up that specifies the standard...
Description The Department of Biomedical Engineering has been established since 2000. It currently has 10 tenure track faculty members, two research faculty , 29 doctoral students and approximately...
Event Topic Graduate Student
Description Complex option pricing problems often require some form of high-dimensional numerical integration. Monte Carlo (MC) methods are often used in these cases to avoid problems of...
Event Topic Graduate Student
SpeakerHong ZhangArgonne National Laboratoryhttp://www.mcs.anl.gov/~hzhang/ Description Together with a group of material scientist, we intend to calculate the atomic and electronic structure of...
Description Backward stochastic differential equation (BSDE) and its generalized form, Forward-backward stochastic differential equation (FBSDE), have become a ubiquitous tool in mathematical finance...
Event Topic Graduate Student
Description A market with defaultable bonds modelled by equations with L\'evy noise will be considered during the talk. The main aim is to derive conditions under which the market with defaultable...
Event Topic Graduate Student
