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 ...

The Annals of Applied Probability, Vol. 28, No. 1 (February 2018), pp. 1-34 (34 pages) In this paper, we aim to develop the stochastic control theory of branching diffusion processes where both 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 available on the BSc in Actuarial Science. This course is not available as an outside option nor to General Course students. As numbers might need to be capped if it proves too popular, ...

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 ...