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  3. Monte Carlo methods for Fin. Pricing Monte Carlo methods for Fin. Pricing

Monte Carlo methods for Fin. Pricing

ICT Mistel. In the project we consider several Monte Carlo methods for solving Stochastic Differential Equations, which come out from pricing problem in Finance.

Brief information

School:

Engineering and Architecture

Status:

Completed

Period:

01.01.2021 - 30.08.2022

Overview

The goal is to apply new methods, that will be publish in high level journals. The following three points view will be developed and interconnected to each other: financial analysis of some real use case of pricing problem and definition of their mathematical modeling, develop the theory for solving the above mathematical problems, writing the algorithms for solving the problem with numerical software.

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Facts

Type of project

Forschung

Internal organisations involved
  • Engineering and Architecture
  • Institute of Financial Services Zug (IFZ)
  • Institute of Mechanical Engineering and Energy Technology IME
Funding
  • Private / Stiftungen
  • Forschungsfinanzierung allgemein
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Persons involved: internal

Project manager
  • Jung Kyu Canci
Member of project team
  • Michael Blankenagel
  • Luca Mangani
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Persons involved: external

External member of project team
  • Philipp Mekler

Brief information

School:

Engineering and Architecture

Status:

Completed

Period:

01/01/2021 - 08/30/2022

Project Head

Prof. Dr. Jung Kyu Canci

Professor

+41 41 349 31 54

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