Fast Fourier transform, parameter estimation and exotic option pricing

28 Novembro 2016, 11:30 • João Guerra

Fast fourier transform for option pricing in Lévy market models. 

Parameter estimation and calibration in Lévy market models. 

Exotic option pricing by the Monte-Carlo method. 

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Choosing an equivalent martingale measure

25 Novembro 2016, 11:00 • João Guerra

How to choose an equivalent martingale measure in a Levy market model.  The Esscher transform and the mean correcting method. 

Brief introduction to the valuation of options using the Fourier transform technique.

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Option pricing in Lévy models

21 Novembro 2016, 11:30 • João Guerra

Option pricing in Lévy models. 

Complete and incomplete markets. 

The Girsanov theorem. 

Conditions for existence and uniqueness of equivalent martingale measures. Discussion of the completeness or incompleteness of the model in several cases. 

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Exercises - Application of the Itô formula

18 Novembro 2016, 11:00 • João Guerra

Itô formula. 

Exercises: applications of the Itô formula for Lévy-type stochastic integrals. 

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stochastic exponentials

14 Novembro 2016, 11:30 • João Guerra

Stochastic exponential and ordinary exponential of a Lévy process.

When is the exponential of a Lévy-type stochastic integral a martingale? 

 

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