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

https://goo.gl/maps/Yx2JU

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