| 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. |
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