Kolmogorov equations arising in finance: direct and inverse problems

MaRDI QIDQ5447271zbMATH OpenFDO

Authors Paolo Foschi, Andrea Pascucci

Publication date 6 March 2008

zbMATH Keywords

model calibrationarbitrage valuationestimation of stochastic processes

Mathematics Subject Classification ID

Mathematical economics (91B99) Ultraparabolic equations, pseudoparabolic equations, etc. (35K70) Inverse problems for PDEs (35R30) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32)

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• Parameter estimation for forward Kolmogorov equation with application to nonlinear exchange rate dynamics
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