Numerical Methods for Financial Market Models

许多现有的金融和经济变量（如利率，通货膨胀等）的演变模型没有已知的封闭形式的解决方案。为了处理这样的模型，例如，因此，对于金融衍生工具的定价和风险管理，设计高度准确、快速和稳健的数值方法是至关重要的。本项目将把随机分析和概率论的方法应用于金融市场模型，以加强对其随机特性的理解，并为其数值处理设计高质量的快速方法。

Many existing models for the evolution of financial and economic variables such as interest rates, inflation and so forth have no known closed-form solution. To deal with such models, e.g., for pricing and risk management of financial derivatives, it is therefore of fundamental importance to design numerical methods that are highly accurate, fast, and robust. This project will apply methods from stochastic analysis and probability theory to models of financial markets to enhance the understanding of their stochastic properties, and to design high-quality fast methods for their numerical treatment.