Recent results about linear partial differential equations of Kolmogorov type are reviewed. They are examined in the context of financial mathematics: specifically, applications to arbitrage valuation, model calibration and estimation of stochastic processes are discussed.
Kolmogorov equations arising in finance: direct and inverse problems / P. Foschi; A. Pascucci. - STAMPA. - (2007), pp. 145-156. (Intervento presentato al convegno Meeting and subelliptic PDEs and applications to geometry and finance http://www.subelliptic2006.dm.unibo.it/ tenutosi a Cortona nel 12-17 giugno 2006).
Kolmogorov equations arising in finance: direct and inverse problems
FOSCHI, PAOLO;PASCUCCI, ANDREA
2007
Abstract
Recent results about linear partial differential equations of Kolmogorov type are reviewed. They are examined in the context of financial mathematics: specifically, applications to arbitrage valuation, model calibration and estimation of stochastic processes are discussed.File in questo prodotto:
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