INSTITUTO SUPERIOR DE ECONOMIA E GESTO

UNIVERSIDADE TCNICA DE LISBOA

Ciclo: Cdigo:

Curso(s):

Mestrado em Matemtica Financeira Unidade curricular

Processos de Lvy e aplicaes

Crditos ECTS:

rea Cientfica: Ano curricular:

Matemtica 2 Semestre Joo Guerra 1 2

Departamento: X

Matemtica Tipo Obrigatria Optativa X

Docente responsvel: Endereo Web: Precedncias: Horas de contacto: Tericas

Prticas

Terico-Prticas Objectivos

Total

Total de horas de trabalho

Fornecer aos alunos conhecimentos sobre a teoria de processos estocsticos de Lvy, o clculo estocstico associado e as aplicaes destes processos na matemtica Financeira. Programa As imperfeies do modelo de Black-Scholes. Processos de Lvy. Definies, exemplos e principais propriedades. Clculo estocstico para processos de Lvy Exponenciais estocsticas, martingalas exponenciais e teoremas de representao de martingalas. Os Processos de Lvy na matemtica financeira. Equaes diferenciais estocsticas.

Bibliografia Principal: Schoutens, W (2003), Lvy Processes in Finance, John Wiley & Sons. Applebaum, D. (2004), Lvy Processes and Stochastic Calculus, Cambridge University Press. Cont, R. and Tankov, P. (2003), Financial modelling with Jump Processes, Chapman & Hall / CRC Press.

Complementar:: Bingham, N. H. and Kiesel, R. (2004), Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives, 2nd. Edition, Springer. Sato, K.-I. (1999), Lvy Processes and Infinitely Divisible Distributions, Cambridge University Press. Avaliao de conhecimentos A nota final, na escala de 0 a 20, atribuda com base num exame escrito e/ou em trabalhos distribudos ao longo do semestre.

Data de actualizao:

12-10-2011

INSTITUTO SUPERIOR DE ECONOMIA E GESTO

UNIVERSIDADE TCNICA DE LISBOA

Degree: Code:

2nd

Field of Study:

Master in Financial Mathematics Course name: Lvy processes and applications Department: Semester 1st 2nd X Mathematics Type Compulsory Optional X Credits ECTS:

Scientific field: Curricular year:

Mathematics

2nd

Responsable lecturer: Website: Requirements:

Joo Guerra

Contact hours:

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Lecture/Practicals

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Total workload

Aims and scope The aim of this course is to provide students with some mathematical methods related with the theory of Lvy processes and applications in finance Programme Imperfections of the Black-Scholes model. Lvy processes. Definitions, examples and Basic properties. Stochastic calculus for Lvy processes. Stochastic exponentials, exponential martingales and martingale representation theorems. Lvy processes in finance. Stochastic differential equations. Bibliography Main: Other: Schoutens, W (2003), Lvy Processes in Finance, John Wiley & Sons. Applebaum, D. (2004), Lvy Processes and Stochastic Calculus, Cambridge University Press. Cont, R. and Tankov, P. (2003), Financial modelling with Jump Processes, Chapman & Hall / CRC Press.

Bingham, N. H. and Kiesel, R. (2004), Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives, 2nd. Edition, Springer. Sato, K.-I. (1999), Lvy Processes and Infinitely Divisible Distributions, Cambridge University Press. Assessment

The final grade, on a 0-20 scale, is awarded on the basis of a written exam and/or assignments distributed during the semester.

Last update:

12-10-2011