- Docente: Andrea Pascucci
- Credits: 6
- SSD: MAT/06
- Language: Italian
- Teaching Mode: Traditional lectures
- Campus: Bologna
- Corso: Second cycle degree programme (LM) in Mathematics (cod. 8208)
Learning outcomes
At the end of the course the student will know the basics of stochastic Ito calculus and the link between stochastic analysis and deterministic partial differential equations.
Course contents
The course aims at providing the minimum basic knowledge to be able to undertake independently the study of advanced topics of stochastic analysis, such as the courses
http://www.hairer.org/Teaching.html
by Martin Hairer, Fields medalist in 2014.
The course contains an introduction to the theory of stochastic processes and stochastic differential equations that naturally intervene in applications in physics and economics, highlighting the link with the theory of elliptic-parabolic partial differential equations.
More details at
https://1drv.ms/w/s!AqFHqfUowiJlj_o9QKL1SxIJyA3SbA?e=3NmuUk
Readings/Bibliography
A. Pascucci, PDE and Martingale methods in option pricing. Bocconi & Springer Series (2010)
Teaching methods
Classroom lectures
Assessment methods
At the end of the course each student will take an oral exam in which he will answer questions about the subjects covered in the program.
Teaching tools
Theoretical and computer exercises.
https://1drv.ms/u/s!AqFHqfUowiJlj-c2YzqLZUFDWnIQXA?e=LRMXIw
Links to further information
https://1drv.ms/w/s!AqFHqfUowiJlj_o9QKL1SxIJyA3SbA?e=3NmuUk
Office hours
See the website of Andrea Pascucci
SDGs
This teaching activity contributes to the achievement of the Sustainable Development Goals of the UN 2030 Agenda.