Lévy processes and applications (1 º Sem 2020/2021)
Objectives
The aim of this course is to provide students with some mathematical methods related with the theory of Lévy processes and applications in finance. More precisely:
_A critical presentation and discussion of the Black-Scholes model imperfections and the possible advantages of Lévy processes in financial modeling.
_Presentation and discussion of the main concepts and results of the Lévy processes theory and its associated stochastic calculus.
_Critical discussion of Lévy processes applications in financial modeling.
_A critical presentation and discussion of the Black-Scholes model imperfections and the possible advantages of Lévy processes in financial modeling.
_Presentation and discussion of the main concepts and results of the Lévy processes theory and its associated stochastic calculus.
_Critical discussion of Lévy processes applications in financial modeling.