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Pricing multi-assets derivatives

Units : Actuarial sciences | ULB454

Description :

In this project we focus upon the pricing of derivatives depending on a multiple of underlying assets. The pricing models used are
multidimensional Lévy type models and some extensions including stochastic volatility effects.

List of persons in charge :

  • DEELSTRA Griselda

List of lessors :

  • F.R.S.-FNRS et Fonds associés (hors FRIA)