Stochastic processes with application to finance

Palmieri, Eugenio (A.A. 2019/2020) Stochastic processes with application to finance. Tesi di Laurea in Probability, Luiss Guido Carli, relatore Sara Biagini, pp. 68. [Master's Degree Thesis]

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Stochastic processes. Itô calculus. A first financial example: Black-Scholes model. Basic framework. Change of measure. The pricing. Moving forward. Jump diffusion processes. Poisson process and surroundings. Jump processes. A second financial application. Change of measure. The pricing. An illustration. The experiment. Barrier options. Methodology. The simulations. Pricing.


Bibliografia: p. 60.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair: Probability
Thesis Supervisor: Biagini, Sara
Thesis Co-Supervisor: Perone, Pacifico Marco
Academic Year: 2019/2020
Session: Extraordinary
Deposited by: Alessandro Perfetti
Date Deposited: 07 Jul 2021 10:24
Last Modified: 07 Jul 2021 10:24


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