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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.