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

In this talk we will discuss the solution of partial integro-differential equations. The solution of this type of equations models the price of financial derivatives and appears when the underlying asset follows a process with discontinuities. We will present conditions when the solution may be found and we present two algorithms that solve such equations. We also consider the problem of pricing derivatives in a market where trading assets involves paying proportional fees. We find that in such markets the price of derivatives solve nonlinear PDE and we present results about existence of solutions of such equations.

Speaker: Ionut Florescu, Stevens Institute of Technology

Slide: (TBA)