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

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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

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Exam exercises and problems

7 Dezembro 2017, 10:00 • João Guerra

Discussion of Exam exercises and problems. 

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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.

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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.

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