Sumários
Presentation and discussion of group assignments
14 Dezembro 2017, 10:00 • João Guerra
Presentation and discussion of the group assignments by the students:
_The Meixner model
_The Variance-Gamma model
Presentation of the group assignments
12 Dezembro 2017, 10:00 • João Guerra
Presentation and discussion of the group assignments by the students:
_The CGMY model
_Stochastic Volatility models
Exam exercises and problems
7 Dezembro 2017, 10:00 • João Guerra
Discussion of Exam exercises and problems.
Partial integro differential equations and Lévy market models
5 Dezembro 2017, 10:00 • João Guerra
Partial integro differential equations for pricing options in Lévy market models.
Numerical finite difference scheme (explicit, implicit or explicit-implicit) for approximating the solutions.
Stochastic volatility models
30 Novembro 2017, 10:00 • João Guerra
Stochastic volatility models: discussion of two different approaches to stochastic volatility.
Stochastic time changes based on the CIR model and on the O.U. model.
The Levy stochastic volatility models.