Introduction to Large Deviation Theory and Applications to Finance

Abstract

Large Deviation Theory is the study of extreme event, i.e. events with extremely low probability of occurrence. It is essential in many applications of probability theory, e.g. in mathematical finance where it also has consequences in terms of asymptotic and sensitivity analysis.

In these lectures we will present standard results of large deviation theory, including theorems by Cramer and Sanov and new developments. Also, we will discuss some applications to finance.

 

Ludovic Tangpi (PhD)

Ludovic Tangpi (PhD) recently completed his position as a Postdoctoral Research Fellow at the Department of Mathematics, University of Vienna in the group of Walter Schachermayer. His interests include Stochastic Analysis and Mathematical Finance. Prior to this, Ludovic was a Research Assistant in the group of Michael Kupper and Peter Imkeller in the Mathematics Department of the University of Konstanz where he completed his PhD in 2015. He is an alumni of AIMS South Africa.