Stochastic differential equation: derivatives pricing

• Grant number: 18/06603-2
• Support type: Scholarships in Brazil - Scientific Initiation
• Effective date (Start): June 01, 2018
• Effective date (End): May 31, 2019
• Field of knowledge: Physical Sciences and Mathematics - Probability and Statistics
• Principal Investigator: Luiz Koodi Hotta
• Grantee: Felipe Bueno Moret
• Home Institution: Instituto de Matemática, Estatística e Computação Científica (IMECC). Universidade Estadual de Campinas (UNICAMP). Campinas , SP, Brazil
• Associated research grant: 13/00506-1 - Time series, wavelets and functional data analysis, AP.TEM

Abstract

The first aim of the project is to familiarize the student with the use of stochastic differential equation and their applications in derivative pricing. The second objective is to study the use of simulation for pricing options. In addition, initially the student should familiarize himself with the financial market and the main types of transactions that occur in it, with special attention to derivatives and options.