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BIRS Workshop Lecture Videos

Affine processes and non-linear (partial) differential equations Teichman, Josef


Affine processes have been used extensively to model financial phenomena since their marginal distributions are very tractable from an analytic point of view (up to the solution of a non-linear differential equation). It is well known by works of Dynkin-McKean-LeJan-Sznitman that one can turn this around and represent solutions of non-linear PDEs by affine processes. Recent advances in mathematical Finance in this direction have been contributed by Henry-Labordere and Touzi. We shall provide some general theory in this direction from the affine point of view. (Joint work with Georg Grafendorfer and Christa Cuchiero)

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