Wilkie model

26 Outubro 2017, 11:30 • João Guerra

Cross sectional and longitudinal properties of Time series. Examples. 

Introduction to the Wilkie model: the basic equations and the basic structure of these equations. 

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Exercises

19 Outubro 2017, 11:30 • João Guerra

Exercises and problems on stochastic calculus for finance models.

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The Lognormal model and introduction to Wilkie model

16 Outubro 2017, 11:30 • João Guerra

The Lognormal model: disadavantages of this model. 

Introduction to the Wilkie model.

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Stochastic Differential Equations

12 Outubro 2017, 11:30 • João Guerra

The Ornstein-Uhlenbeck process and its Stochastic differential equation. The mean reversion effect. 

Financial applications: the Vasicek model and the Black-Scholes with stochastic volatility. 

The efficient market hypoteshis and the continuous time lognormal model (Geometric Brownian motion). 

Basic properties of the continuous time lognormal model (Geometric Brownian motion). 

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Stochastic Differential Equations

9 Outubro 2017, 11:30 • João Guerra

Stochastic Differential Equations (SDE). Motivations and examples. Definition of solution. 

The SDE for geometric Brownian motion, the Orsntein-Uhlenbeck process SDE and how to obtain a solution. 

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