MALLIAVIN CALCULUS WITH APPLICATIONS TO FINANCE

• Grant number: 23/08064-0
• Support Opportunities: Scholarships in Brazil - Scientific Initiation
• Start date: August 01, 2023
• End date: July 31, 2024
• Field of knowledge: Physical Sciences and Mathematics - Mathematics - Analysis
• Principal Investigator: Diego Sebastian Ledesma
• Grantee: Adair Antonio da Silva Neto
• Host Institution: Instituto de Matemática, Estatística e Computação Científica (IMECC). Universidade Estadual de Campinas (UNICAMP). Campinas , SP, Brazil

Abstract

The project aims for the student to initiate themselves in the study of Malliavin calculus theory and its applications, particularly in finance, starting with the basic concepts and examples of the theory and progressing, as their studies become more advanced, to the treatment of more elaborate questions and more interesting and challenging topics.