Sumários
Infinitely divisible distributions and stable distributions
11 Outubro 2023, 10:00 • João Guerra
Infinitely divisible distributions and stable distributions.
Definitios, properties and examples.
Lévy measures and Lévy-Khintchine formula
10 Outubro 2023, 09:30 • João Guerra
Lévy masures: definition and main properties.
Examples.
Lévy-Khintchine formula: statement and sketch of the proof. Examples of Lévy characteristics or triplets for different infinitely divisibke distributions.
Overview of Lévy processes and Infinitely divisible distributions
4 Outubro 2023, 10:00 • João Guerra
Conclusion of the overview of Lévy processes and its financial applications.
Infinitely divisible distributions. Definition, properties and examples.
Presentation and Introduction. Imperfections of the Black-Scholes model
3 Outubro 2023, 09:30 • João Guerra
Presentation of the course: Programme, bibliography, Assessment.
Introduction to Lévy processes and some simple examples.
Imperfections of the Black-Scholes model.