Sumários

Presentation and discussion of team works

25 Novembro 2025, 09:30 • João Guerra

Presentation and discussion of team works about the Normal Inverse Gaussian (NIG) model and the Variance-Gamma (VG) model. 

Fourier Transform techniques for option pricing in Lévy models

19 Novembro 2025, 14:00 • João Guerra

Pricing call options under a Lévy market model, using Fourier transform techniques and the Fast Fourier Trasnform (FFT) algorithm. 


Discussion of exercises. 

Discussion of exercises

18 Novembro 2025, 09:30 • João Guerra

Discussion of exercises on the stochastic exponential, Ito formula, complete and incomplete markets. 

Lévy models with stochastic volatility

12 Novembro 2025, 14:00 • João Guerra

Sufficient conditions for arbitrage-free Lévy models: examples. 

Lévy models with stochastic volatility: BNS models, the rate of time change: CIR model, stochastic volatility models as time changed Lévy processes. 

Esscher transform, equivalent martingale measure, mean correcting measure and arbitrage-free Lévy models

11 Novembro 2025, 09:30 • João Guerra

Esscher transform and equivalent martingale measures in Lévy market models. 

Mean-correcting martingale measure in Lévy market models. 
Sufficient conditions for arbitrage-free Lévy market models. Examples. 
Discussion of problems related to team works.