Unité de probabilités

Séminaires programmés

EPFL > Faculté SB > IMA > PROB & PRST > Séminaires > J. Teichmann - 28 novembre
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Conférence en probabilité

Jeudi 30 octobre 2008 à 11h15
CE 1 105, EPFL, Ecublens

Prof. J. Teichmann

Vienna University of Technology

 

A new Approach to Stochastic Partial Differential Equations with Applications to Scenario Generation in Risk Management

 

Résumé

Motivated by problems from mathematical finance, we present several new numerical schemes for stochastic partial differential equations (SPDEs). These numerical techniques are then applied to evaluate SPDEs which appear in risk management. Several concrete implementations are presented.