Seminar on Probability Theory and Mathematical Finance
A private seminar at Tokyo (since Aug. 2011)
Held once every few months
We had been studying about:
Stochastic Differential Equation with Oblique Reflection
Tightness and Weak Convergence of Stochastic Processes
Malliavin Calculus Applied to Computational Finance
Quantitative Operational Risk Management
Uniform Estimate for Distributions of Sum of i.i.d. Random Variables
Wavelet Transform and its Application for Calculating Credit Value-at-Risk (VaR)
Stochastic Control Theory and its Application to
an Optimal Execution Problem with Market Impact
Cauchy-Dirichlet Problem for Parabolic PDEs and
its Application to Option Pricing
Stochastic Control Theory Revisited: Bellman Principle and Related Non-Linear PDEs
Hedging/Pricing Theory in Incomplete Market Model
Credit Risk Modeling with Delayed Information