Presentation. Basic definitions

3 Outubro 2017, 10:00 • João Guerra

Presentation of the course. Syllabus, Bibliography and assessment. 

Lévy processes: Brief history.

The imperfections of the Black-Scholes model: the empirical distribution of returns and the implied volatility smile. 

Lévy process: Definition. Example: Compound Poisson Process and Jump-diffusion process.

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