Affine processes provide a versatile framework for modelling complex financial phenomena, ranging from interest rate dynamics to credit risk and beyond. Their defining characteristic is the affine, or ...

SIAM Journal on Numerical Analysis, Vol. 55, No. 3 (2017), pp. 1243-1263 (21 pages) The Heston stochastic volatility model is one of the most fundamental models in mathematical finance. In the ...

Stochastic processes are at the center of probability theory, both from a theoretical and an applied viewpoint. Stochastic processes have applications in many disciplines such as physics, computer ...

This course is compulsory on the BSc in Actuarial Science. This course is available on the BSc in Business Mathematics and Statistics, BSc in Financial Mathematics and Statistics, BSc in Mathematics ...

The maxima of independent Weiner processes spatially normalized with time scales compressed is considered and it is shown that a weak limit process exists. This limit process is stationary, and its ...

Researchers at Rice University have developed a mathematical model that enhances our understanding of ovarian aging and the timing of menopause, revealing mechanisms that could inform future ...

Simulation research derives new methods for the design, analysis, and optimization of simulation experiments. Research on stochastic models develops and analyzes models of systems with random behavior ...

This course is compulsory on the MSc in Financial Mathematics and MSc in Quantitative Methods for Risk Management. This course is available on the MSc in Applicable Mathematics, MSc in Econometrics ...

A stochastic process is a mathematical model for phenomena unfolding dynamically and unpredictably over time. This module studies two classes of stochastic process particularly relevant to financial ...