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.
P. Foschi, A. Pascucci (2007). Kolmogorov equations arising in finance: direct and inverse problems. S.N. : s.n.
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:
Eventuali allegati, non sono esposti
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
