Stochastic Analysis and Numerical Approximations in Mathematical Finance
The purpose of this project is to contribute and provide new developments of Mathematical Finance in terms of theoretical results, computational applications and models, with special emphasis in Real Options. More precisely, we plan to address questions concerning the three following topics: (i) efficient numerical algorithms; (ii) investment decisions under uncertainty; (iii) interest rate models.
Starting date: 1/03/2011
End date: 28/2/2014
Group person*month: 0