Numerics and modeling of nonlinear partial differential equations for the description of credit and price risks

01.05.2007 - 30.09.2009
Research funding project
The main goal of this project is the analytical and numerical study of nonlinear effects arising in portfolio optimization problems and pricing of financial derivatives. In particular, Hamilton-Jacobi-Bellman equations and other nonlinear partial differential equations will be studied.

People

Project leader

Project personnel

Institute

Grant funds

  • Deutsche Forschungsgemeinschaft e.V (EU) German Research Foundation (DFG)

Research focus

  • Mathematical and Algorithmic Foundations: 30%
  • Modeling and Simulation: 70%

Keywords

GermanEnglish
nichtlineare partielle Differentialgleichungennonlinear partial differential equations
Optionspreisbewertungpricing of financial options

Publications