Welcome to the course!

The course presents market modelling with price dynamics given by jump-diffusions. Here the jump-diffusions considered are particular linear stochastic differential equations driven by both Brownian motion and a centred Poisson random measure. These dynamics include the classical linear stochastic differential equation driven by Brownian motion and, in particular, the Black-Scholes model..... You can read the syllabus in Leganto to have a proper description. 

As per the first class, we start on Monday, 23rd January.

If you wonder what is the added value of coming to classes, well, well. Let me say that this is a fairly specialised course in financial modelling and in stochastic analysis. During lectures, you will hear how the mathematical theory merges with the modelling problems. What are the pro ad the cons, the needed assumptions from the applied needs and the technical ones, you will find comments on some critical aspects of the theory. All that is not necessity easy to grasp by only reading the literature (which is honestly quite vast).

... So see you on Monday!