We prove that the class of Skorohod integral processes coincides with a class of Itô integrals. Using the techniques of the classical Itô stochastic calculus, we develop a new stochastic calculus for ...
Intrinsically noisy mechanisms drive most physical, biological and economic phenomena. Frequently, the system’s state influences the driving noise intensity (multiplicative feedback). These phenomena ...
Studies mathematical theories and techniques for modeling financial markets. Specific topics include the binomial model, risk neutral pricing, stochastic calculus, connection to partial differential ...
The course “Stochastische Analysis” is for master students who are already familiar with fundamental concepts of probability theory. Stochastic analysis is a branch of probability theory that is ...
This course is available on the MSc in Financial Mathematics, MSc in Quantitative Methods for Risk Management, MSc in Statistics, MSc in Statistics (Financial Statistics), MSc in Statistics (Financial ...
This course is compulsory on the MSc in Financial Mathematics and MSc in Quantitative Methods for Risk Management. This course is available on the MSc in Econometrics and Mathematical Economics, MSc ...
The course “Stochastische Analysis” is for master students who are already familiar with fundamental concepts of probability theory. Stochastic analysis is a branch of probability theory that is ...
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