Sumários

5 Novembro 2025, 14:00 • João Guerra

Modelling asset prices and returns using the stochastic exponential of a Lévy process.

Equivalent martingale measures in the Lévy models and complete/incomplete markets.

Examples and exercises.

4 Novembro 2025, 09:30 • João Guerra

Stochastic exponential. Examples.

Exponential martingales. Examples.

Complete and incomplete markets. Arbitrage free markets. The Meta-theorem for arbitrage and completeness. Examples.

28 Outubro 2025, 09:30 • João Guerra

Modeling stock price as the exponential of a Lévy process.

Mean correcting martingale measure: stock price under the mean correcting martingale measure and the drift change.

Discussion of exercises about the Itô formula.

22 Outubro 2025, 14:00 • João Guerra

Itô formula for jump processes and for Lévy-type stochastic integrals.

Examples.

21 Outubro 2025, 09:30 • João Guerra

Predictable processes and definition of stochastic integrals for jump processes and Lévy processes.

Itô processes and Lévy-type stochastic integrals. Examples.