Advanced numerical methods for financial forecasting

Starting date
January 12, 2017
Duration (months)
10
Departments
Computer Science
Managers or local contacts
Di Persio Luca

The project aims to develop theoretical and numerical models in the field of management, hedging, forecasting and risk assessment, by means of advanced stochastic / statistical techniques, and with particular reference to the creation of software tools for the numerical calculation of the financial quantitites of interest . The developed model will see the synergistic interaction of approaches that characterize the theory of Stochastic (Partial) Differential Equations (SPDEs), time series statistical analysis methods, and the study of stochastic interacting systems. The theoretical results obtained will be then translated into concrete numerical implementations for predicting the behaviour of highly complex financial derivatives.

Sponsors:

Fairmat srl
Funds: assigned and managed by the department

Project participants

Luca Di Persio
Temporary Assistant Professor

Activities

Research facilities