Lognormal model - Cross sectional and longitudinal properties

19 Outubro 2015, 10:00 • João Guerra

The lognormal model. Empirical tests.

Time series. Cross-sectional and longitudinal properties.

Autoregressive models.

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The lognormal model

15 Outubro 2015, 11:30 • João Guerra

Market efficiency.

The lognormal model. Properties and main drawbacks of the model.

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Stochastic differential equations

12 Outubro 2015, 10:00 • João Guerra

The Ornstein-Uhlenbeck with mean reversion. The Vasicek model SDE.

Examples and exercises.

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Stochastic differential equations

8 Outubro 2015, 11:30 • João Guerra

Multidimensional Itô formula.

Stochastic differential equations and diffusion processes.

Examples: geometrical Brownian motion and the SDE from Black-Scholes model, Ornstein-Uhlenbeck process

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Itô's formula

5 Outubro 2015, 10:00 • João Guerra

Itô's formula. One-dimensional case and multidimensional formula. Examples and exercises.

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