Research projects

Project CEMAPRE internal

TitleNonlinear problems for option pricing - classical and new insights
ParticipantsAndré Bento, Nuno Brites, Joaquim Cavalheiro, Matthias Erharhdt, Maria do Rosário Grossinho (Principal Investigator), Manuel Guerra, João Guerra, Henrique Guerreiro, João Janela, Telmo Peixe, Daniel Sevcovic, Ivan Yamshchikov
SummaryWe aim to work on nonlinear generalizations of the Black-Scholes equation for option pricing, aiming
to develop models that consider more realistic situations of the financial
markets, by relaxing the assumptions of the classical Black-Scholes model.

The project will continue to reinforce the collaboration of research teams at Wuppertal
University , in Germany, and Comenius University at Bratislava, in Slovakia.

New insights are also expected having into account the collaboration of Ivan Yamshchikov and his
expertise in artificial intelligence.