Research in Teams at BIRS — Random motions in Markov and semi-Markov environments and their applications

The Banff International Research Station will host the "Random motions in Markov and semi-Markov environments and their applications" workshop in Banff from June 7, 2020 to June 14, 2020. The workshop is devoted to the study of random motions (for example, telegraph or transport models) in Markov and semi-Markov environments and their applications. Applications include, in particular, modelling of stock price in finance via the exponential of random telegraph process. Analogue of the Black-Scholes formula for European call option price will be obtained in this case. Another application will be considered to obtain generalization of Black-76 formula in commodity markets by regarding Markov or semi-Markov modulated volatility in the forward pricing of energy markets' products.