Frontiers in Stochastic Modelling for Finance
Padua, Italy 08-12 February 2016
Please find here the slides of the courses:
- Energy Models René Aïd, (EDF, Paris)
Lecture 1, Lecture 2, Lecture 3, Lecture 4, Lecture 5
- Pricing with Funding and Counterparty Risks Andrea Pallavicini, (Banca IMI, Milano)
- Longevity Risk Nicole El Karoui and Sarah Kaakai, (UPMC, Paris)
Lecture 1, Lecture 2
- Optimal Stopping Goran Peskir, (Manchester University)
Optimal stopping in mathematical statistics Peter Johnson, (Manchester University)
American Eagle Options Shi Qiu, (Manchester University)
- Polynomial Processes Martin Larsson , (ETH, Zurich)
Polynomial Preserving Jump-Diffusions Sara Svaluto-Ferro, (ETH, Zurich)
- Numerical Methods Nadia Oudjane, (EDF, Paris)
Nonconservative nonlinear PDE Anthony Le Cavil (ENSTA)