Introduction to derivative pricing in discrete time

• Grant number: 23/05866-8
• Support Opportunities: Scholarships in Brazil - Scientific Initiation
• Start date: June 01, 2023
• End date: March 31, 2024
• Field of knowledge: Physical Sciences and Mathematics - Mathematics - Applied Mathematics
• Principal Investigator: Pedro Jose Catuogno
• Grantee: Felipe Batista de Lima Araújo
• Host Institution: Instituto de Matemática, Estatística e Computação Científica (IMECC). Universidade Estadual de Campinas (UNICAMP). Campinas , SP, Brazil
• Associated research grant: 20/04426-6 - Stochastic dynamics: analytical and geometrical aspects with applications, AP.TEM

Abstract

erivatives pricing is a fundamental part of financial engineering. Derivatives are financial entities whose value derives from the value of other more concrete assets. Options and forward are two of the most popular types of derivatives. The objective of this project is to introduce the exchange student to the way in which financial markets in the real world are modeled and how derivatives can be rationally priced. Mathematical prerequisites are the first two years of a degree program in mathematics: finite-dimensional linear algebra, elementary probability theory, combined with the ability to follow a line of mathematical reasoning. This project also serves as an introduction to stochastic calculus from the point of view of discrete mathematics.