Processos de Lévy e Aplicações (1 º Sem 2014/2015)

MF (Mathematical Finance)

Trabalhos de grupo Link

Ficheiros

The Fine Structure of Asset returns (Carr_Geman_Yor_Madan_CGYM_model.pdf, 192KB) Variance-Gamma process (Carr_Madan_Chang_Variance_Gamma.pdf, 153KB) Time changes for Lévy processes (Geman_Madam_Yor_time_changes_for_Levy_processes.pdf, 132KB) Bilateral Gamma distributions (processes_Bilateral gamma distributions and processes_finance.pdf, 465KB) Representing the CGMY and the Meixner model (Representing the CGMY and Meixner Levy.pdf, 168KB) Stochastic volatility for Lévy processes (Stochastic_volatility_for_Levy_Processes.pdf, 252KB)