A stochastic partial differential equation approach to mortgage backed securities by Ahmad, F

Subjects:

Particle systems and SPDEs with application to credit modelling by Jin, L

Subjects:

Analysis of stochastic PDEs arising from large portfolios of stochastic volatility models by Kolliopoulos, N

Subjects: “…Mathematical Finance…”

Discretely sampled signals and the rough Hoff process by Flint, G, Hambly, B, Lyons, T

“…Such random ODEs have a natural interpretation in the context of mathematical finance.…”

Discrete approximations in stochastic rough path theory by Flint, G

“…Such random ODEs have a natural interpretation in the context of mathematical finance.</p> <p>The second part of the thesis introduces a new pathwise approximation scheme for SDEs driven by multidimensional Brownian motion. …”