Dr. Michele Bonollo [ Iason Ltd. ] will give two mini courses on SDE and Statistics, both from an applicative/numerical point of view, at the Department of Computer Science of the University of Verona.
The courses will be divided as follows
- *24h * SDE, *8h* Statistics
and they will be developed according to the following (tentative) calendar
- Wed May 6 16.30-18-30 2 h - Mon May 11 14.30-18.30 4 h - Mon May 18 14.30-18.30 4 h (STAT) - Wed May 20 16.30-18.30 2 h - Mon May 25 14.30-18.30 4 h - Wed May 27 14.30-18.30 4 h (STAT) - Wed June 3 14.30-18.30 4 h - Mon June 8 14.30-18.30 4 h - Wed June 10 16.30-18.30 4h
Covered topics will include
SDE Topics
- SDE and Closed form solutions: Black and Sholes model review - SDE Approximations: from the Eulero scheme to some higher order techniques. Weak and strong convergence definitions - The stochastic processes simulation - Discrete space and discrete state processes: the trees approaches versus the diffusion perspective - Some Brownian motion useful functionals: first hitting time, occupation time, - Application 1: Exotic derivative evaluation - Application 2: full evalution of VaR versus Delta-Gamma-Vega VaR - The compound Poisson process and the Operational VaR estimation
STAT Topics
- Parameter Estimation and Calibration review - Volatility surface: tricks and practical problems - Principal Component Analysis: applications to the term structure and to the volatility surface
All the lessons will be given here
Strada le Grazie, 15 - 37134 Verona VR Ca' Vignal 2 and they will start in Room M.
Do not hesitate to contact me for further details: luca.dipersio@univr.it
__ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance
Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968
Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686