Sumários
Lognormal model, time series properties
16 Outubro 2012, 10:00 • João Guerra
The Lognormal model.
Time series cross-sectional and longitudinal properties.
The continuous-time lognormal model
12 Outubro 2012, 10:00 • João Guerra
The continuous-time lognormal model: properties, the model and the market efficiency hypothesis. Advantages and drawbacks of the model.
Stochastic differential equations
9 Outubro 2012, 10:00 • João Guerra
Stochastic differential equations and diffusion processes.
Examples: geometrical Brownian motion and the SDE from Black-Scholes model, Ornstein-Uhlenbeck process, Ornstein-Uhlenbeck with mean reversion. Vasicek model SDE.
Itô's formula.
2 Outubro 2012, 10:00 • João Guerra
Itô's formula. One-dimensional case and multidimensional formula. Examples and basic ideas of the proof.