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

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Dates : 07 June 2020 » 14 June 2020

Place : Banff, Alberta
Canada

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Organizer : Banff International Research Station for Mathematical Innovation and Discovery (BIRS)

Topic : Mathematics and Statistics; Courses and Events for Math Students and Early Career Researchers
Engineering and Technology; Economics;
Keywords: Energy, Transport, Finance
Description :

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.


Research in Teams at BIRS — Random motions in Markov and semi-Markov environments and their applications to be held in Banff, Alberta, Canada between 07 June 2020 and 14 June 2020. It is organised by Banff International Research Station for Mathematical Innovation and Discovery (BIRS). It covers specific areas of Mathematics and Statistics such as Courses and Events for Math Students and Early Career Researchers. Visit the website of the conference for more detailed information or contact the organizer for specific questions.
Add to calendar 2020-06-07 2020-06-14 Europe/London Research in Teams at BIRS — Random motions in Markov and semi-Markov environments and their applications https://www.sciencedz.net/en/conference/70415-research-in-teams-at-birs-random-motions-in-markov-and-semi-markov-environments-and-their-applications Banff, Alberta - Canada Banff International Research Station for Mathematical Innovation and Discovery (BIRS)

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