Sumários
Group assignment presentations
16 Dezembro 2016, 13:30 • João Guerra
Group assignment presentations:
_The Variance-Gamma models
_The Meixner model
Group assignments presentations
16 Dezembro 2016, 11:00 • João Guerra
Group assignment presentations:
_The generalized hyperbolic model
_Stochastic Volatility models
Stochastic volatility models
12 Dezembro 2016, 11:30 • João Guerra
Stochastic volatility models. The Barndorff-Nielsen and Shephard (BNS) model. O.-U. processes driven by a subordinator.
The Stochastic time change. The Integrated CIR time change. The IntOU time change. The Lévy Stochastic volatility market model.
Simulation of Lévy processes
5 Dezembro 2016, 11:30 • João Guerra
Simulation of a Standard Brownian motion.
Simulation of a Poisson Process.
Simulation of a Lévy Process: Approximation of the small jumps by their expected
value or approximation of the small jumps by a Brownian
motion. Choice of the Poisson processes.
Simulation of a Gamma process.
Simulation of the Variance-Gamma (VG) process.
Parameter estimation and exotic option pricing
2 Dezembro 2016, 11:00 • João Guerra
Model calibration.
Monte-Carlo algorithm.
Pricing exotic options by the Monte-Carlo method.