We will in particular study Brownian motion and martingales, Ito’s stochastic calculus, stochastic integration and martingale representation theorems, Ito’s Formula. We will present stochastic ...
The course gives an introduction to analytical techniques for partial differential equations, in particular to separation of variables. In addition the course treats qualititative properties of ...
Unlike better-known catastrophe bonds, which help to shield insurers against rare natural disasters, so-called weather derivatives offer protection from less severe but more common meteorological ...