The webinars will take place on Zoom and a link to the virtual room will be sent out to all those who registered at the registration page.
Speaker: Emmanuel Coffie (University of Liverpool)
Title: On the analysis of a highly nonlinear two-factor stochastic volatility model under local Lipschitz condition
Abstract: We establish theoretical properties of the true solution to a two- variance-driven asset price model with super-linear coefficient terms. Since this model is not tractable analytically, we construct a numerical method to approximate it and prove the finite-time strong convergence theory under the local Lipschitz condition. Finally, we provide simulation examples to validate the theoretical result.
This series of webinars addresses all interested people in probability, stochastic analysis, control, risk evaluation, statistics, with a view towards applications, in particular to renewable energy markets and production. This series brings together the major research themes of the projects STORM, SCROLLER, and SPATUS.