CORDIS Project
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This research explores advanced concepts in mathematical finance using stochastic processes. It aims to develop new financial models that relax traditional no-arbitrage conditions, enhancing understanding of credit risk and insider trading while integrating insights from various fields.
The present research proposal deals with applications of the theory of stochastic processes to foundational issues in mathematical finance.
We plan to investigate non-classical no-arbitrage-type conditions, which in particular allow to go beyond the usual risk-neutral paradigm of quantitative finance, by relaxing the classical No Free Lunch with Vanishing Risk (NFLVR) condition.
To this effect, we shall make use of deep results from the general theory of stochastic processes.
By relying on the t…
UNIVERSITE D'EVRY-VAL D'ESSONE
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