Random Motions in Markov and Semi-Markov Environments and their Applications (20rit234)

Organizers

(University of Calgary)

Ramón Martín Dagnino (Tecnologico de Monterrey)

Anatoliy Pogoruy (Zhytomyr Ivan Franko State University)

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.


The Banff International Research Station for Mathematical Innovation and Discovery (BIRS) is a collaborative Canada-US-Mexico venture that provides an environment for creative interaction as well as the exchange of ideas, knowledge, and methods within the Mathematical Sciences, with related disciplines and with industry. The research station is located at The Banff Centre in Alberta and is supported by Canada's Natural Science and Engineering Research Council (NSERC), the U.S. National Science Foundation (NSF), Alberta's Advanced Education and Technology, and Mexico's Consejo Nacional de Ciencia y Tecnología (CONACYT).