The stochastic indicator compares the stock’s closing price with the stock’s price over a certain time period. In an uptrend, the stock price tends to close near its high. In a downtrend, the stock ...

Stochastic differential equations (SDEs) are at the heart of modern financial modelling, providing a framework that accommodates the inherent randomness observed in financial markets. These equations ...

Studies mathematical theories and techniques for modeling financial markets. Specific topics include the binomial model, risk neutral pricing, stochastic calculus, connection to partial differential ...

This course is available on the MSc in Financial Mathematics, MSc in Risk and Stochastics, MSc in Statistics, MSc in Statistics (Financial Statistics) and MSc in Statistics (Research). This course is ...

This work generalizes existing one- and two-dimensional pricing formulas with an equal number of barriers to a setting of n dimensions and up to two barriers in the presence of stochastic volatility.

Reliable risk measurement is a key problem for financial institutions and regulatory authorities. The current industry standard Value-at-Risk has several deficiencies. Improved risk measures have been ...

In this paper, we apply stochastic (backward) automatic differentiation to calculate stochastic forward sensitivities. A forward sensitivity is a sensitivity at a future point in time, conditional on ...

This course is available on the MSc in Financial Mathematics, MSc in Quantitative Methods for Risk Management, MSc in Statistics, MSc in Statistics (Financial Statistics), MSc in Statistics (Financial ...