Sumários

Presentation and discussion of team works. Discussion of exam problems.

27 Novembro 2024, 14:00 João Guerra

Presentation and discussion of the team works about the models: CGMY and Stochastic volatility NIG-CIR model. 

Discussion of exam problems. 


Presentation and discussion of team works

26 Novembro 2024, 09:30 João Guerra

Presentation and discussion of the team works abouth the models: Variance-Gamma and Normal Inverse Gaussian. 


Discussion of problems and exercises

25 Novembro 2024, 14:30 João Guerra

Discussion of problems and exercises


Parameter estimation in Lévy market models. Exercises and Problems

20 Novembro 2024, 14:00 João Guerra

The Fast Fourier Transform method to calculate Option prices in Lévy market models - a brief description. 
The parameter estimation problem for Lévy market models. A brief description. 
Discussion of Exercises and Problems.


Exercises

19 Novembro 2024, 09:30 João Guerra

Discussion of exercises on complete/incomplete Lévy models and arbitrage-free Lévy models. 

Discussion of exam problem.