Stochastic analysis

Maria Flora
Research Assistants
Bruno Giacomello
Associate Professor
Alessandro Gnoatto
Associate Professor
Research interests
Topic People Description
MSC 60H10 - Stochastic ordinary differential equations Alessandro Gnoatto
Analysis of continuous time stochastic processes. Applications of stochastic differential equations of forward and backword type with jumps to problems of financial pricing and optimal control.
MSC 60H30 - Applications of stochastic analysis Maria Flora
Bruno Giacomello
Alessandro Gnoatto
Applications of continuous-time stochastic processes in economics and finance. Analysis of pricing problems and contingent claims. Studies of problems of risk management and applications of measures of risk.
MSC 60H35 - Computational methods for stochastic equations Alessandro Gnoatto
Probabilistic computational methods: recursive marginal quantization and Fourier-quantization. Exposure estimation in models featuring counterparty risk.