Seminario Dottorato: “Quantized option pricing in Mathematical Finance”

Wednesday 15 March 2017 h.14:30 - Room 2BC30 - Lucio Fiorin

ARGOMENTI: Seminars Ph.D. Program

Wednesday 15 March 2017 h.14:30, Room 2BC30
Lucio Fiorin (Padova, Dip. Mat.)
“Quantized option pricing in Mathematical Finance”

Quantization is a widely used tool in Signal Processing and Numerical Probability, and it has been recently applied to Mathematical Finance. The quantization of a continuous random variable consists in finding the “best” discrete version of it, i.e. minimizing the L^2 distance. It is possible, using this technique, to create new algorithms for the pricing of European options under different models of the underlying asset.
In this seminar we introduce the basic tools used in mathematical finance and we will present the most common results in the theory of option pricing. After a brief discussion on the existing models of the price of a financial asset, we will give the audience some ideas on how quantization can be a powerful tool able to overcome existing problems.

Rif. int. C. Marastoni, T. Vargiolu

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