Montag, 09. Mai 2016, 16:45 - 18:15 iCal

ISOR Colloquium

"Affine processes and non-linear differential equations (joint work with Georg Grafendorfer and Christa Cuchiero)"

Speaker: Josef Teichmann (ETH Zurich)

Sky Lounge OMP1, 12th Floor
Oskar-Morgenstern-Platz 1, 1090 Vienna


Affine processes have been used extensively to model financial phenomena since their marginal distributions are very tractable from an analytic point of view (up to the solution of a non-linear differential equation). It is well known by works of Dynkin-McKean-LeJan-Sznitman that one can turn this around and represent solutions of non-linear PDEs by affine processes. Recent advances in mathematical Finance in this direction have been contributed by Henry-Labordere and Touzi. We shall contribute some general theory and some new aspects to this field.

Zur Webseite der Veranstaltung


Institut für Statistik und Operations Research


Mag. Vera Lehmwald
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38651