Sumários

Ito Formula

28 Novembro 2023, 09:30 • João Guerra

Ito formula for Jump processes, for Itô processes and for Lévy-type stochastic integrals.

Examples.

How to use an Itô formula for solving a SDE for geometric Lévy process: example.

Discussion of numerical simulations in Teamwork projects.

Option pricing in Lévy models

22 Novembro 2023, 10:00 • João Guerra

Discussion of option pricing in Lévy models for call options (by using a closed-form formula or by Monte-Carlo method) and for barrier options (by Monte-Carlo method).

Parameter estimation problem.

Discussion of probems related to the teamwork.

Numerical simulation of Lévy models and mean-correcting martingale measure

21 Novembro 2023, 09:30 • João Guerra

Numerical simulation of Lévy models: examples and methods.

The mean-correcting martingale measure for pricing options in Lévy models and its apllication in the teamworks.

Discussion of teamwork problems.

Numerical Simulation of Lévy Processes

15 Novembro 2023, 10:00 • João Guerra

Numerical Simulation of Lévy Processes. Examples and methods.

Discussion of teamwork problems.

Lévy Ito decomposition and Stochastic integration with respect to jump processes

14 Novembro 2023, 09:30 • João Guerra

Lévy Ito decomposition. Examples.

Stochastic integration with respect to jump processes and Lévy type stochastic integrals.