Cordoni, Francesco Giuseppe (2016) *Delayed Forward-Backward stochastic PDE'Â€Â™s driven by non Gaussian LÃ©vy noise with application in finance.* PhD thesis, University of Trento.

| PDF (Doctoral Thesis) - Doctoral Thesis 2035Kb | |

PDF - Doctoral Thesis Restricted to Repository staff only until 19 December 9999. 1177Kb |

## Abstract

From the very first results, the mathematical theory of financial markets has undergone several changes, mostly due to financial crises who forced the mathematical-economical community to change the basic assumptions on which the whole theory is founded. Consequently a new mathematical foundation were needed. In particular, the 2007/2008 credit crunch showed the word that a new financial theoretical framework was necessary, since several empirical evidences emerged that aspects that were neglected prior to these years were in fact fundamental if one has to deal with financial markets. The goal of the present thesis goes in this direction; we aim at developing rigorous mathematical instruments that allow to treat fundamental problems in modern financial mathematics. In order to do so, the talk is thus divided into three main parts, which focus on three different topics of modern financial mathematics. The first part is concerned with delay equations. In particular, we will prove Feynman-Kac type result for BSDE's with time-delayed generator, as well as an ad hoc Ito formula for delay equations with jumps. The second part deal with infinite dimensional analysis and network models, focusing in particular on existence and uniqueness results for infinite dimensional SPDE's on networks with general non-local boundary conditions. The last part treats the topic of rigorous asymptotic expansions, providing a small noise asymptotic expansion for SDE with LÃƒÂ©vy noise with several concrete application to financial models.

Item Type: | Doctoral Thesis (PhD) |
---|---|

Doctoral School: | Mathematics |

PhD Cycle: | 29 |

Subjects: | Area 01 - Scienze matematiche e informatiche > MAT/06 PROBABILITÃ€ E STATISTICA MATEMATICA |

Repository Staff approval on: | 30 Nov 2016 10:21 |

Repository Staff Only: item control page