Description Complex option pricing problems often require some form of high-dimensional numerical integration. Monte Carlo (MC) methods are often used in these cases to avoid problems of...
Event Topic Graduate Student
SpeakerHong ZhangArgonne National Laboratoryhttp://www.mcs.anl.gov/~hzhang/ Description Together with a group of material scientist, we intend to calculate the atomic and electronic structure of...
Description Backward stochastic differential equation (BSDE) and its generalized form, Forward-backward stochastic differential equation (FBSDE), have become a ubiquitous tool in mathematical finance...
Event Topic Graduate Student
Description A market with defaultable bonds modelled by equations with L\'evy noise will be considered during the talk. The main aim is to derive conditions under which the market with defaultable...
Event Topic Graduate Student
Description We will use the quasi-invariance problem of Wiener measures as an example to explain the special difficulties of analysis in infinite dimensional spaces that are not present in finite...
Description One of the central questions in biology concerns the formation of complex, highly organized microscopic structures from initially disordered states. Complex ordered structures are...
Event Topic Graduate Student
