Grant: Discovery Grants Program - Individual
Wilfrid Laurier University
$16,000.00
Solvable and Other Stochastic Models for Risk Modeling and Asset Pricing in Quantitative Finance
EF 2021-22
Résumé
Closed-form Spectral Expansions; Financial derivative pricing; First and last passage times; Multidimensional asset pricing; Occupation times; Path dependent option pricing; Risk modeling; Solvable diffusions; Stochastic models; Stochastic processes
Programme
Discovery Grants Program - Individual
Bénéficiaire
Emplacement
Ontario, Canada
Type de bénéficiaire
Academia
Type
Grant
Source
NSERC's Awards Data
Tel que publié
Application id
RGPIN-2018-06176
Name nom
Campolieti, Giuseppe
Department département
Mathematics - Mathematics
Organization id
35
Institution établissement
Wilfrid Laurier University
Province en
Ontario
Province fr
Ontario
Country en
CANADA
Country fr
CANADA
Fiscal year exercice financier
2021
Competition year année de concours
2018
Award amount
16000
Program id
RGPIN
Program name en
Discovery Grants Program - Individual
Program name fr
Programme de subventions à la découverte - individuelles
Group en
Discovery grants programs
Group fr
Programmes de subventions à la découverte
Committee code
1508
Committee name en
Mathematics and Statistics
Committee name fr
Mathématiques et statistique
Area of application code
1205
Area of application group en
Advancement of knowledge
Area of application group fr
Avancement des connaissances
Area of application en
Mathematical sciences
Area of application fr
Sciences mathématiques
Research subject code
3007
Research subject group en
Statistics and probability
Research subject group fr
Statistique et probabilité
Research subject en
Stochastic processes
Research subject fr
Processus stochastiques
Installment
inst:4
Partie
1
Nb partie
5
Application title
Solvable and Other Stochastic Models for Risk Modeling and Asset Pricing in Quantitative Finance
Keyword
NSERC
Application summary
Closed-form Spectral Expansions; Financial derivative pricing; First and last passage times; Multidimensional asset pricing; Occupation times; Path dependent option pricing; Risk modeling; Solvable diffusions; Stochastic models; Stochastic processes
