Processos de Lévy e Aplicações (1 º Sem 2020/2021)

MF (Mathematical Finance)

Group assignments Link

Ficheiros

Group assignment description (Group assignment 2020.pdf, 69KB) Variance Gamma model paper (Carr_Madan_Chang_Variance_Gamma.pdf, 153KB) CGMY model paper (Carr_Geman_Yor_Madan_CGMY_model.pdf, 192KB) Normal Inverse Gaussian paper (Barndorff_Nielsen_Processes_of_normal_inverse_Gaussian_Type.pdf, 217KB) Generalized hyperbolic model (Eberlein_Prause_Generalized_Hyperbolic_model.pdf, 500KB) Stochastic volatility models paper (Stochastic_volatility_for_Levy_Processes.pdf, 252KB) Meixner model paper (Meixner model paper.pdf, 308KB) Groups and models (Groups.xls, 32KB)