Sumários
Group assignments discussion
11 Dezembro 2018, 10:00 • João Guerra
Group assignments discussion: variance gamma model, CGMY model, Stochastic Volatility models.
Group assignment discussion
6 Dezembro 2018, 10:00 • João Guerra
Group assignment discussion: the double exponential jump-diffusion process applied to corporate finance.
Option pricing with the Fourier transform
4 Dezembro 2018, 10:00 • João Guerra
Option pricing in Levy market models with Fourier transform and fast Fourier transform. Parameter estimation with FFT.
Discussion of group assignments questions.
Group assignment questions and doubts
29 Novembro 2018, 10:00 • João Guerra
Group assignments questions and doubts.
The implied volatility curves and surface. How to obtain the implied volatility curve for Lévy models.