The Mathematics Department of Politecnico di Milano will offer a PhD course on the subject "Hawkes Processes and Applications in Finance". The course will be given by Carlo Sgarra.

The calendar and the subjects of the lectures will be the following:

January 8, 2017    9:30-12:30  Motivation for introducing Hawkes processes in financial models, the self-exciting features of jumps and the clustering property.

January 8, 2017    14:30-16:30  Introduction to point processes: their basic properties.

January 9, 2017    9:30-12:30  Definition and basic properties of Hawkes processes.

January 9, 2017    14:30-16:30  The microstructure foundation of Hawkes processes. 

January 10, 2017  9:30-12:30  Multivariate Hawkes processes.

January 10, 2017  14:30-16:30  Simulation of Hawkes processes. The time change technique. 

January 15, 2017  9:30-12:30  The Statistics of Hawkes processes: parametric estimation. The Maximum Likelihood Estimator for Hawkes Processes.

January 15, 2017  14:30-16:30  Hawkes processes and pricing.

January 16, 2017  9:30-12:30  Hawkes processes and the branching property. Branching processes in continuous time and their relation with Hawkes.

January 16, 2017  14:30-16:30  Hawkes processes and power market.

January  17, 2017  9:30-12:30  Hawkes processes and rough volatility models: an introduction to rough volatility models.

January  17, 2017  14:30-16:30  Optimal control problems in Hawkes framework: a few examples from the literature.

Some slides will be available at the end of the course.

The lectures  will take place in the classroom inside the Department of Mathematics located at the third floor of the building called "La Nave".

Best Regards,

Carlo Sgarra