Seminar: Affine Diffusions: Theory, Simulation and Financial Applications

Affine diffusions are very versatile and highly tractable at the same time. Therefore they are very popular as models in many fields of applications in particular finance. The theory and application of affine processes has been one of the most active areas in stochastic processes/mathematical finance in the last 15 years.

In this seminar we are looking at both univariate and multivariate models. We consider their theory, their simulation as well as their application in financial mathematics.

To register for the seminar,  please write an email to eva.nacca@uni-ulm.de until 31st March 2021.

Please give your name, matriculation number, and your courses of studies and subjects you have taken in the area of Financial Mathematics, Probability Theory, Statistics or Stochastic Processes. 

The number of participants is limited to 15 students.

The seminar will be mainly based on the book

Aurelien Alfonsi, Affine Diffusions and Related Processes: Simulation, Theory and Applications; Springer, Cham, 2015 http://dx.doi.org/10.1007/978-3-319-05221-2