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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Abstract/Index
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.
References
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 |
| URI: | https://tesi.luiss.it/id/eprint/30005 |
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