Martin Larsson: Catalogue data in Autumn Semester 2017

Name Dr. Martin Larsson
FieldMathematical Finance
URLhttp://www.math.ethz.ch/~larssonm
DepartmentMathematics
RelationshipAssistant Professor

NumberTitleECTSHoursLecturers
364-1058-00LRisk Center Seminar Series Restricted registration - show details
Number of participants limited to 50.
0 credits2SB. Stojadinovic, D. Basin, A. Bommier, D. N. Bresch, L.‑E. Cederman, P. Cheridito, P. Embrechts, H. Gersbach, H. R. Heinimann, M. Larsson, W. Mimra, G. Sansavini, F. Schweitzer, D. Sornette, B. Sudret, U. A. Weidmann, S. Wiemer, M. Zeilinger, R. Zenklusen
AbstractThis course is a mixture between a seminar primarily for PhD and postdoc students and a colloquium involving invited speakers. It consists of presentations and subsequent discussions in the area of modeling complex socio-economic systems and crises. Students and other guests are welcome.
ObjectiveParticipants should learn to get an overview of the state of the art in the field, to present it in a well understandable way to an interdisciplinary scientific audience, to develop novel mathematical models for open problems, to analyze them with computers, and to defend their results in response to critical questions. In essence, participants should improve their scientific skills and learn to work scientifically on an internationally competitive level.
ContentThis course is a mixture between a seminar primarily for PhD and postdoc students and a colloquium involving invited speakers. It consists of presentations and subsequent discussions in the area of modeling complex socio-economic systems and crises. For details of the program see the webpage of the colloquium. Students and other guests are welcome.
Lecture notesThere is no script, but a short protocol of the sessions will be sent to all participants who have participated in a particular session. Transparencies of the presentations may be put on the course webpage.
LiteratureLiterature will be provided by the speakers in their respective presentations.
Prerequisites / NoticeParticipants should have relatively good mathematical skills and some experience of how scientific work is performed.
401-4923-67LPolynomial Jump-Diffusions and Applications in Finance4 credits2VM. Larsson
AbstractA basic goal in mathematical finance is to develop market models that combine statistical flexibility with analytical tractability. A common class of such models are affine, and more generally polynomial, jump-diffusions. This course will develop the theory of polynomial jump-diffusions, the mathematical tools needed to study them, and discuss a selection of applications.
ObjectiveThe aim of this course is to develop the theory of polynomial jump-diffusions, the mathematical tools needed to study them, and discuss a selection of applications.
Content- Introduction to affine and polynomial processes
- Semimartingales and their characteristics; jump-diffusions
- Affine and polynomial jump-diffusions; the moment formula; the exponential-affine transform formula
- Existence and uniqueness theory: Martingale problems; the positive maximum principle; SDE methods
- Invariance properties
- Applications: Optimal investment; term structure of interest rates; credit risk
- Advanced topics: Volterra processes with affine characteristics
LiteratureThe course is based on class notes. References for additional and background reading will be provided on the course website.
Prerequisites / NoticeBasic knowledge of stochastic analysis including Brownian Motion and Stochastic Calculus.