Stochastic dynamical systems arise in many scientific fields, such as asset prices in financial markets, neural activity in ...

Random walks constitute one of the most fundamental models in the study of stochastic processes, representing systems that evolve in a sequence of random steps. Their applications range from modelling ...

Affine processes provide a versatile framework for modelling complex financial phenomena, ranging from interest rate dynamics to credit risk and beyond. Their defining characteristic is the affine, or ...

Stochastic processes are at the center of probability theory, both from a theoretical and an applied viewpoint. Stochastic processes have applications in many disciplines such as physics, computer ...

A two-step estimation method of stochastic volatility models is proposed: In the first step, we nonparametrically estimate the (unobserved) instantaneous volatility process. In the second step, ...

This research suggests that even chaotic, unpredictable phenomena, like waves on a shore or the beating of a heart, can be ...

The maxima of independent Weiner processes spatially normalized with time scales compressed is considered and it is shown that a weak limit process exists. This limit process is stationary, and its ...

This course is compulsory on the BSc in Actuarial Science. This course is available on the BSc in Business Mathematics and Statistics, BSc in Financial Mathematics and Statistics, BSc in Mathematics ...

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 Applicable Mathematics, MSc in Econometrics ...