Project CEMAPRE internal
| Title | Nonlinear Models on Computational Finance |
| Participants | Matthias Ehrhardt, Francisco Fonseca, José Pedro Gaivão, Maria do Rosário Grossinho (Principal Investigator), João Guerra, Manuel Guerra, João Janela, Beatriz M Leal, Carlos Oliveira, Telmo Peixe, Daniel Sevcovic, Long Teng, Maria Valente |
| Summary | Nonlinear Models on Computational Finance are generically our main concern. We aim to work on nonlinear generalization of the Black-Scholes equation for pricing financial instruments. It aims to develop analytical and numerical studies for nonlinear boundary value problems that appear when trying to develop models that consider more realistic situations of the financial markets, by relaxing the assumptions of the classical Black-Scholes model. We will also consider fractional partial differential equations (fPDEs), to focus on possible financial applications, in the framework of the bilateral Portugal-Germany project FRACTAL The project will continue to reinforce the collaboration of a research team at Wuppertal University, progressing the previous work with special emphasis on qualification of young academics in an international environment. Special support will be given to the PhD student Beatriz Malheiros Leal. Nonlinear Models on Computational Finance are generically our main concern. Keywords: Nonlinear models; Fractional Brownian motion; Fractional differential equations; Computational finance. |