Sumários
Infinitely divisible distributions and Lévy measures
30 Setembro 2025, 09:30 • João Guerra
Characteristic function: existence of derivative of order n of characteristic function at 0 and existence of moment of order n.
Infinitely divisible distribution example: the compound Poisson distribution.
The Lévy measure: definition and examples.
Discussion of exercises on characteristic functions and infinitely divisible distributions.
introduction to Lévy processes, characteristic functions and infinitely divisibility
24 Setembro 2025, 14:00 • João Guerra
Introduction to Lévy processes: Lévy Khintchine formula and infinitely divisibility.
Characteristic functions: definition and main properties.
Infinitely divisible distributions: definition and main properties.
Examples of infinitely divisible distributions.
Presentation of the course and imperfections of the Black-Scholes model
23 Setembro 2025, 09:30 • João Guerra
Presentation of the course: Program, Bibliography, assessment method.
Basic ideas about Lévy processes and their importance in applications.
Imperfections of the Black-Scholes model and how Lévy processes can be used to surpass these drawbacks.