ANNUNCIO DI SEMINARIO E DI TESI DI PERFEZIONAMENTO:
Sabato 4 dicembre p.v., alle ore 10.30, nella Sala degli Stemmi della Scuola Normale Superiore (Pisa), il prof. CLAUDIO ALBANESE, dell'Imperial College di Londra, terra' il seguente seminario (in italiano):
"Classification schemes for exactly solvable SDEs and PDEs, with applications to Finance and Physics"
Summary: I will review the content of a series of papers addressing classification problems for exactly solvable models. The schemes concern stochastic differential equations, diffusion PDEs, integrals of stochastic processes, Schroedinger type equations and their analogues on discrete lattices. This topic is rooted in the theory of special functions, harmonic analysis, group representation theory and builds and extends on a stream of research originally motivated by quantum mechanics applications. Our own research was driven by engineering applications to pricing theory for exotic options and quantum information theory. Collaborators: Alexey Kuznetsov (McMaster), Stephan Lawi (Paris VI) and Oliver Chen (NUS).
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Dopo il seminario si svolgera' la discussione della tesi di perfezionamento della dott.sa ANNA BATTAUZ (attualmente ricercatrice all'Universita' Bocconi), dal titolo: "Some issues about American Options on assets with dividends".
Giulia Curciarello Segreteria Didattica tel: 050-2213219 e-mail curciare@dm.unipi.it _______________________________________________ Settimanale mailing list Settimanale@mail.dm.unipi.it https://mail.dm.unipi.it/mailman/listinfo/settimanale