Exam problems and exercises

9 Dezembro 2020, 11:30 • João Guerra

Discussion of exam problems and exercises. 

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Discussion of Exam Exercises

7 Dezembro 2020, 10:00 • João Guerra

Discussion of Exam exercises. 

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Lévy processes simulation and exotic options pricing

2 Dezembro 2020, 11:30 • João Guerra

Lévy processes simulation: example of approximating a Lévy process with 8 Poisson processes. 

Exotic option pricing using the Monte Carlo method. Examples with barrier options: the up and in Call Barrier and the up and out Call Barrier option.

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Exercises. Model parameter estimation

30 Novembro 2020, 10:00 • João Guerra

Exercises on the application of the Itô formula for Lévy-type stochastic integrals. 

The problem of parameter estimation from option data for exponential Lévy market models. RMSE: root mean square error. 

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Exercises

25 Novembro 2020, 11:30 • João Guerra

Exercises on exponential Lévy market models completeness/incompleteness and arbitrage/no arbitrage. 

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