Finite dimensional realizations for the CNKK-volatility surface modelЛекция
We introduce the volatility surface, an important term structure of mathematical finance, and develop the general structure of the dynamics of term structure problems. We explain the stochastic partial differential equation (SPDE) governing the time evolution of term structures and develop some solution theory for this SPDE. Several relationships to PDEs and differential geometry are emphasized.
Страница лекции на сайте лаборатории им.П.Л.Чебышева.