Chen, Fitzsimmons, Kuwae and Zhang (Ann. Probab. 36 (2008) 931-970) have established an Itô formula consisting in the development of F(u(X)) for a symmetric Markov process X, a function u in the ...

Kiyoshi Ito, a mathematician whose innovative models of random motion are used today in fields as diverse as finance and biology, died Nov. 17 at a hospital in Kyoto, Japan. He was 93. His death was ...

In this paper we propose a notion of viscosity solutions for path dependent semi-linear parabolic PDEs. This can also be viewed as viscosity solutions of non-Markovian backward SDEs, and thus extends ...

Pricing and trading of equity and index options. Elementary and advanced trading strategies illustrated through mock trades. Modeling of stock price movement. Basic concepts of stochastic differential ...

This course is available on the MSc in Applicable Mathematics and MSc in Financial Mathematics. This course is available with permission as an outside option to students on other programmes where ...

This course is available on the BSc in Financial Mathematics and Statistics, BSc in Mathematics and Economics and BSc in Mathematics with Economics. This course is available as an outside option to ...

Kiyoshi Ito, a mathematician whose innovative models of random motion are used today in fields as diverse as finance and biology, died Nov. 17 at a hospital in Kyoto, Japan. He was 93. His death was ...

Stochastic analysis and modelling encapsulate a rich field that combines rigorous probability theory with analytical tools to capture and forecast the behaviour of systems influenced by inherent ...