Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)

Elliptic and parabolic partial differential equations arising in option pricing problems involving the Cox-Ingersoll-Ross or Heston stochastic processes are well-known to be degenerate parabolic. We provide a report on our work on the existence, uniqueness, and regularity questions for variational inequalities involving degenerate parabolic differential operators and applications to American-style option pricing problems for the Heston model. This is joint work with Panagiota Daskalopoulos (Department of Mathematics, Columbia University) and Camelia Pop (Department of Mathematics, Rutgers University) will repeat my recent presentation at the Kolmogorov Equations in Physics and Finance conference in Modena, Italy.

Speaker: Paul Feehan, Rutgers University

Slides: ( PDF)