Stochastic processes and their applications in finance.

• Grant number: 98/05810-9
• Support Opportunities: Scholarships in Brazil - Post-Doctoral
• Start date: November 01, 1998
• End date: October 31, 1999
• Field of knowledge: Physical Sciences and Mathematics - Probability and Statistics - Applied Probability and Statistics
• Principal Investigator: Leda Dimitrova Minkova Koleva
• Grantee: Leda Dimitrova Minkova Koleva
• Host Institution: Instituto de Matemática e Estatística (IME). Universidade de São Paulo (USP). São Paulo , SP, Brazil

Abstract

We shall study de class of stochastic processes which can find their applications in the theory of finances. We expect then to use the results of this study for constructing various financial market models and for their analysis. The latter will include the construction of the risk-neutral probability masure, the calculation of the option price, and the description of the hedging strategy. Particular attention will be given to the continuation of the analysis of economics in a high level-of-inflation regime which has been initiated in the recent works of the candidate. (AU)