Project CEMAPRE internal
|Title||Nonlinear problems for option pricing - classical and new insights|
|Participants||André 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|
|Summary||We 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.