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.


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.


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


Downloads per month over past year

Repository Staff Only

View Item View Item