Algebraic method for pricing financial derivatives
This advanced PhD course of lectures "Algebraic method for pricing financial derivatives" is developed in the framework of a Nordforsk project by Professor Anatoliy Malyarenko, Research Environment in Mathematics and Applied Mathematics, MAM, Division of Applied Mathematics, School of Education, Culture and Communication, Mälardalen University
Lectures in this series (PhD course) will take place in February.
One of the topics will be however presented in a more consise research workshop talk format already on
November 29, Thursday, 16.15-17.00, room R2-605,
Lecture on November 29 is also one of the lectures in
(November 29, 2018)
Title (of lecture on November 29): Cubature, signature, and equations in a free Lie algebra
Abstract (of lecture on November 29) The no-arbitrage price of a financial instrument can be calculated as an integral of the discounted payoff over an infinite-dimensional space called Wiener space. Classical finite-dimensional cubature methods can be generalized to this case. In order to solve the cubature problem and to find an explicit cubature formula, we use a classical mapping called the signature. Under this mapping, the cubature problem becomes a system of equations in a free Lie algebra.
Nordforsk lectures slides (September, 2018)