Sumários
Lévy processes - definition and basic properties
2 Outubro 2024, 14:00 • João Guerra
Lévy processes. Definitions and basic prioperties.
The Lévy Khintchine formula for Lévy processes.
The Characteristic exponent and the Lévy triplet.
Examples.
Exercises.
Lévy Measures and Lévy-Khintchine formula
1 Outubro 2024, 09:30 • João Guerra
Exercises on characteristic functions and infinitely divisible distributions.
Lévy measures: definition, main properties and examples.
The Lévy-Khintchine formula. Examples.
Overview of Lévy Processes
25 Setembro 2024, 14:00 • João Guerra
Overview of Lévy Processes:
_Jump diffusion process
_Lévy-Khintchine formula
_Lévy measures
_Financial models based on Lévy processes
Characteristic functions. Examples.
Infinitely divisible distributions. Examples.
Imperfections of the Black-Scholes model and iintroduction to Lévy Processes
24 Setembro 2024, 09:30 • João Guerra
Presentation of the course, bibliography and assessment.
Imperfections of the Black-Scholes model.
The implied volatility smile.
Introduction to Lévy processes.