Affine processes provide a versatile framework for modelling complex financial phenomena, ranging from interest rate dynamics to credit risk and beyond. Their defining characteristic is the affine, or ...

This course provides doctoral students the foundations of applied probability and stochastic modeling. The first part of the course covers basic concepts in probability, such as the Borel Cantelli ...

Randomness is inherent to real world problems so faculty research in this area includes the development and application of probabilistic tools to model, predict, and analyze randomness in applications ...

Stochastic processes as a research area focuses on the mathematical modeling and analysis of systems that evolve randomly over time, typically formalized as families of random variables indexed by ...