Mathematical Methods for Finance and Inverse Problems

Volatility modelling and pricing of options in financial and energy markets

Dr. Jorge P. Zubelli

  • Intuitively volatility is the agitation of the financial market or the asset. From the mathematical viewpoint it is a variable coefficient in certain stochastic differential equations. Such coefficient determines in a large extent the prices of options and financial derivatives. In this project we calibrate different models for volatility by looking at the traded prices of the underlying assets and their corresponding derivatives.

Quantitative Analysis of the Impact of a Crisis on the Financial Markets

Dr. Jorge P. Zubelli

  • Risk and crisis situations are prevalent attributes of modern societies that do affect economic and financial activities. One recent example is the COVID-19 crisis, another one was the H1N1, and yet another one was the 2008 sub-prime rates that led to Lehman Brothers debacle. The purpose of this project is to study the influence of the 2020 COVID-19 crisis in the financial markets.