Mathematical Methods of Risk Management in Leasing Projects

Student: Sorokin Vladimir

Faculty: St.Petersburg School of Economics and Management

Educational Programme: Applied Economics and Mathematical Methods (Master)

Year of Graduation: 2019

This paper presents a classification of risks and methods by which risk managers influence them and reveals the essence of leasing as a whole. An example is also being developed where a car is purchased on the terms of a leasing contract, a payment schedule is drawn up. For risk analysis in terms of leasing, the possibility of buying an option was considered and an analysis of the expected net present value was carried out. In addition, two problems with a variable cost function were proposed and solved, and a theoretical model was proposed to substantiate the choice of one or another type of behavior to optimize risk. Keywords: leasing, risk, real options method, Ito's lemma, stochastic differential equations.

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