Sumários

Stochastic exponential and exponential martingales

15 Novembro 2022, 09:30 • João Guerra

Ito formula, Stochastic exponential and exponential martingales.

Stochastic integrals and Ito Formula

10 Novembro 2022, 13:30 • João Guerra

Stochastic integrals of Lévy-type and Ito Formula. Examples.

Simulation of Lévy processes - part 2. Poisson integrals

8 Novembro 2022, 09:30 • João Guerra

Simulation of Lévy processes. Part 2. 

Lévy processes and martingales. Examples. 
Càdlàg functions and processes. Lévy processes as càdlàg processes. 
Poisson random measures. 
Poisson integrals. 

Numerical Methods for the simulation of Lévy processes

3 Novembro 2022, 13:30 • João Guerra

Simulation of Lévy Processes: 

1) Brownian motion
2) Poisson Processes
3) General Processes
4) Approximating the small jumps by a Lévy process
5) Gamma process
6) Variance Gamma process

Subordinators and time change.

27 Outubro 2022, 13:30 • João Guerra

Examples of subordinators. Time change of Lévy processes. Examples. 

Discussion of team work assignments.