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.