Dear all,
 it is a pleasure to announce the forthcoming PhD course "Fourier-Laplace transform and Wiener-Hopf factorization in Finance, Economics and Insurance" given by Prof. Sergei Levendorskii for PhD students in Padova, starting from next week, online via Zoom.
Here is a tentative program:

  • Lecture 1. Lévy models

  • Lecture 2. Evaluation of probability distributions and pricing European options in Lévy models

  • Lecture 3. Simplified trapezoid rule, Fast Fourier Transform and its variations

  • Lecture 4. Conformal acceleration techniques

  • Lecture 5. Barrier options with discrete monitoring and Bermudan options. Calculations in the state space

  • Lecture 6. Barrier options with discrete monitoring and Bermudan options. Calculations in the dual space

  • Lecture 7. Wiener-Hopf factorization

  • Lecture 8. Contingent claims with continuous monitoring, boundary value problems and Wiener-Hopf factorization

  • Lecture 9. Options with continuous monitoring, cont-d

  • Lecture 10. Affine models

  • Lecture 11. American options with infinite time horizon

  • Lecture 12. American options with finite time horizon


and here is the schedule (Italian time):

1) 19th October 16.30-18 
2) 21st October 16.30-18 
3) 23rd October 16.30-18 
4) 26th October 16.30-18 
5) 28th October 16.30-18 
6) 30th October 16.30-18 

If interested and to obtain the link Zoom and attend the lectures, please send an e-mail to (me!): gcallega@math.unipd.it

Thanks and have a nice afternoon,
Giorgia Callegaro


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Giorgia Callegaro
Associate Professor
Department of Mathematics - University of Padova
Via Trieste 63 , I-35121 Padova - ITALY
Tel: +39-0498271481     Fax: +39-0498271499
E-Mail: gcallega@math.unipd.it
Personal web-page: https://sites.google.com/site/giogiocallegaro/Home