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