Three Lectures on: "AFFINE AND POLYNOMIAL PROCESSES" (JOSEF TEICHMANN, ETH Zurich; CHRISTA CUCHIERO, University of Vienna)

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Lecture 1 (JOSEF TEICHMANN) "Motivating examples: classical and recent ones".

Several examples from Mathematical Finance and other areas of applications are considered (Pricing and Hedging; Credit Risk; representation of non-linear PDEs; rough volatility)

JUNE 21TH, 9-11 A.M. AULA MANCINI, Scuola Normale Superiore

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Lecture 2 (JOSEF TEICHMANN AND CHRISTA CUCHIERO) "General theory of affine and polynomial processes".

Foundational issues are discussed in detail and admissibility conditions proved in the canonical state space setting.

JUNE 23TH, 9-11 A.M. AULA MANCINI, Scuola Normale Superiore

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Lecture 3 (CHRISTA CUCHIERO) "General theory of affine and polynomial processes".

Affine and polynomial processes one general state spaces are considered towards finite or infinite dimensional processes classes.

JUNE 27TH, 9-11 A.M. AULA MANCINI, Scuola Normale Superiore

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