*Mini course announcement*
Prof. Giulia Di Nunno [ UiO - Department of Mathematics - Oslo ] will give a mini course on *Lévy processes with applications in financial modelling*, at the Department of Computer Science, University of Verona, according with the following calendar Monday, 6th of June 14.30 -17.30 Tuesday, 7th of June 13.30 -16.30 Wednesday, 8th of June 14.30 -17.30
All the lessons will take place at the Dept. of Computer Science, Strada le Grazie, 15 - Verona Ca' Vignal 2, first floor , Room M.
located here
The* tentative programme* is the following: 1. Lévy processes an introduction – infinitely divisible distributions, characteristic function and Lévy-Khinchine formula – Lévy-Ito decomposition – Lévy measure, path and moment properties. – Some classes of Lévy processes of particular interest
2. Lévy processes and stochastic calculus – Ito formula for Lévy processes – Girsanov theorem, Esscher transform
3. Asset price modelling – price models based on exponential Lévy process – real-world measure and risk-neutral measure, market incompleteness – examples of models
4. Pricing of financial derivatives in the models introduced
5. (if time permits) Introduction to hedging and portfolio representations
Do not hesitate to contact me for further details: luca.dipersio@univr.it
LuCa
__ 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