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Stochastic Calculus in Financial Markets
Research Group in Financial Engineering & Investment Science
 
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Pricing and delta computation in jump-diffusion models with stochastic intensity ...
Posted by Mark Field in Financial Engineering & Investment Science and Stochastic Calculus in Financial Markets

Pricing of Securities

Probability

This paper investigates the pricing of financial derivatives and the calculation of their delta Greek when the underlying asset is a jump-diffusion process in which the stochastic intensity ....
No-arbitrage conditions and pricing from discrete-time to continuous-time strate ...
Posted by Mark Field in Financial Engineering & Investment Science and Stochastic Calculus in Financial Markets

Pricing of Securities

Probability

In this paper, a general framework is developed for continuous-time financial market models defined from simple strategies through conditional topologies that avoid stochastic calculus and d....
Modeling a Financial System with Memory via Fractional Calculus and Fractional B ...
Posted by Mark Field in Financial Engineering & Investment Science and Stochastic Calculus in Financial Markets

Statistical Finance

Financial markets have long since been modeled using stochastic methods such as Brownian motion, and more recently, rough volatility models have been built using fractional Brownian motion. ....
Malliavin Calculus for the one-dimensional Stochastic Stefan Problem
Posted by Mark Field in Financial Engineering & Investment Science and Stochastic Calculus in Financial Markets

Probability

Analysis of PDEs

We consider the one-dimensional outer stochastic Stefan problem with reflection which models the short-time prediction of the price or spread of one volatile asset traded in a financial mark....