## Martin Larsson: Katalogdaten im Herbstsemester 2017 |

Name | Herr Dr. Martin Larsson |

Lehrgebiet | Finanzmathematik |

URL | http://www.math.ethz.ch/~larssonm |

Departement | Mathematik |

Beziehung | Assistenzprofessor |

Nummer | Titel | ECTS | Umfang | Dozierende | |
---|---|---|---|---|---|

364-1058-00L | Risk Center Seminar Series Maximale Teilnehmerzahl: 50 | 0 KP | 2S | B. Stojadinovic, D. Basin, A. Bommier, D. N. Bresch, L.‑E. Cederman, P. Cheridito, P. Embrechts, H. Gersbach, H. R. Heinimann, M. Larsson, W. Mimra, G. Sansavini, F. Schweitzer, D. Sornette, B. Sudret, U. A. Weidmann, S. Wiemer, M. Zeilinger, R. Zenklusen | |

Kurzbeschreibung | This course is a mixture between a seminar primarily for PhD and postdoc students and a colloquium involving invited speakers. It consists of presentations and subsequent discussions in the area of modeling complex socio-economic systems and crises. Students and other guests are welcome. | ||||

Lernziel | Participants should learn to get an overview of the state of the art in the field, to present it in a well understandable way to an interdisciplinary scientific audience, to develop novel mathematical models for open problems, to analyze them with computers, and to defend their results in response to critical questions. In essence, participants should improve their scientific skills and learn to work scientifically on an internationally competitive level. | ||||

Inhalt | This course is a mixture between a seminar primarily for PhD and postdoc students and a colloquium involving invited speakers. It consists of presentations and subsequent discussions in the area of modeling complex socio-economic systems and crises. For details of the program see the webpage of the colloquium. Students and other guests are welcome. | ||||

Skript | There is no script, but a short protocol of the sessions will be sent to all participants who have participated in a particular session. Transparencies of the presentations may be put on the course webpage. | ||||

Literatur | Literature will be provided by the speakers in their respective presentations. | ||||

Voraussetzungen / Besonderes | Participants should have relatively good mathematical skills and some experience of how scientific work is performed. | ||||

401-4923-67L | Polynomial Jump-Diffusions and Applications in Finance | 4 KP | 2V | M. Larsson | |

Kurzbeschreibung | A basic goal in mathematical finance is to develop market models that combine statistical flexibility with analytical tractability. A common class of such models are affine, and more generally polynomial, jump-diffusions. This course will develop the theory of polynomial jump-diffusions, the mathematical tools needed to study them, and discuss a selection of applications. | ||||

Lernziel | The aim of this course is to develop the theory of polynomial jump-diffusions, the mathematical tools needed to study them, and discuss a selection of applications. | ||||

Inhalt | - Introduction to affine and polynomial processes - Semimartingales and their characteristics; jump-diffusions - Affine and polynomial jump-diffusions; the moment formula; the exponential-affine transform formula - Existence and uniqueness theory: Martingale problems; the positive maximum principle; SDE methods - Invariance properties - Applications: Optimal investment; term structure of interest rates; credit risk - Advanced topics: Volterra processes with affine characteristics | ||||

Literatur | The course is based on class notes. References for additional and background reading will be provided on the course website. | ||||

Voraussetzungen / Besonderes | Basic knowledge of stochastic analysis including Brownian Motion and Stochastic Calculus. |