Quantitative Methods in Economics and Finance

Evaluation of Financial and Actuarial Risk. The research group has focused on several different aspects of quantitative finance. As a first research subject, we faced the problem of pricing credit default swaps (CDSs), which entails the calculation of the risk of default. As a second research subject, we considered the problem of pricing complex derivatives. Precisely, we took into account barrier options on an underlying described by either the geometric fractional Brownian motion or a timechanged Brownian motion. Finally, we dealt with the problem of pricing real options in the presence of stochastic interest rates. Nonlinear Dynamics in Economic and Financial Models. Nonlinear Dynamics is an interdisciplinary area characterized by a rapid and extensive development in recent years, which has proved to be very useful in explaining some important facts in Economics and Finance (such as endogenous fluctuations). In this contribution, we provide an overview of our research on this topic, both in continuous and in discrete time.