Probabilistic methods, simulation and stochastic differential equations

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Bruno Giacomello
Associate Professor
Alessandro Gnoatto
Full Professor
Marco Minozzo
Associate Professor
Research interests
Topic People Description
MSC 65C05 - Monte Carlo methods Bruno Giacomello
Alessandro Gnoatto
Marco Minozzo
Monte Carlo methods for estimating and predicting dynamic models, such as Markov chain Monte Carlo, particle filters and sequential Monte Carlo. Applications of these methods to economic and financial field. In particular, applications for the numerical solution of stochastic differential equations forward-backward. Also covers Longstaff-Schwartz regression methods for the solution of Snell envelopes and applications in the counterparty risk field.
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