Barcelona Summer School on Stochastic Analysis: Functional Itô Calculus and Malliavin Calculus for Lévy Processes

Jul 23 2012 - 13:26
Jul 27 2012 - 13:26
Venue: 

Centre de Recerca Matemàtica, Bellaterr, Barcelona

Short description of the event: 

The first Barcelona Summer School on Stochastic Analysis is mainly addressed to PhD students and to young researchers in Stochastic Analysis. The objective is to give an overview of the current state of Malliavin calculus for Lévy processes, and to introduce the newly developed Functional Itô Calculus. Both techniques give alternative methodologies to deal with path dependent functionals and have applications to finance.