An introduction to the Malliavin Calculus and its applications

Prof. Alberto Lanconelli

  • Date:

    28 FEBRUARY
    -
    11 MARCH 2019
     from 11:00 to 13:00

  • Event location: Seminar room, 1st floor, Department of Statistics, Via Belle Arti 41, Bologna

  • Type: Cycle 34 - Mandatory Courses

All dates: Department of Statistics, Via Belle Arti 41, Bologna

Alberto Lanconelli

Thu   28/02 - 11.00 a.m. to 01.00 p.m., Seminar room 1st floor
Mon  04/03 - 11.00 a.m. to 01.00 p.m., Seminar room 1st floor
Wed  06/03 - 11.00 a.m. to 01.00 p.m., Seminar room 1st floor
Fri     08/03 - 11.00 a.m. to 01.00 p.m., Seminar room 1st floor
Mon  11/03 - 11.00 a.m. to 01.00 p.m., Seminar room 1st floor

 

Short program:

- Motivation: stochastic differential equations and existence of densities
- The Malliavin derivative and Skorohod integral
- Absolute continuity for Brownian functionals
- Absolute continuity for solutions of SDEs
- Financial applications: the Clark-Ocone formula and computation of Greeks