Asymptotic expansion of SDE’s and applications to Lévy Driven Financial Models

Project: Research

Project Details

Description

We intend to study models for financial markets described in terms of stochastic differential equations with multiplicative Lvy noise. Particular attention will be given to asymptotic expansions, both for large time and small diffusion coefficients. We shall also seek explicit solutions, numerical approximations via Galerkin methods, with applications to payoff functions in various financial instruments.
StatusFinished
Effective start/end date1/12/1431/12/16

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