Portfolio pricing through a multi period model with different states of nature
Riservato, Carlo (A.A. 2020/2021) Portfolio pricing through a multi period model with different states of nature. Tesi di Laurea in Gambling: probability and decision, Luiss Guido Carli, relatore Hlafo Alfie Mimun, pp. 52. [Bachelor's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Analysis of single period models. What is a stock? The single-period binomial model. Interest rate and arbitrage opportunities. The single-period model with different. The connection between replicating portfolios and arbitrage opportunities. The numeraire security and its deflation. The risk-neutral measure. Martingales in the single period model. What is a martingale? The single-period model and its correlation with martingales. The two fundamental theorems of asset pricing. Martingale pricing theory. Martingale pricing theory for the multiple period model. Pricing in the binomial model with multiple periods.
References
Bibliografia: pp. 41-42.
| Thesis Type: | Bachelor's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Bachelor's Degree Programs > Bachelor's Degree Program in Economics and Business, English language (L-33) |
| Chair: | Gambling: probability and decision |
| Thesis Supervisor: | Mimun, Hlafo Alfie |
| Academic Year: | 2020/2021 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 01 Mar 2022 10:30 |
| Last Modified: | 01 Mar 2022 10:30 |
| URI: | https://tesi.luiss.it/id/eprint/31602 |
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