Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/68634
Title: Estratègies d'inversió a temps continu sota el model brownià geomètric
Author: Boixadera Sanchís, Marc
Director: Vives i Santa Eulàlia, Josep, 1963-
Keywords: Moviment brownià
Tesis
Martingales (Matemàtica)
Processos estocàstics
Mercat financer
Brownian movements
Theses
Martingales (Mathematics)
Stochastic processes
Financial market
Issue Date: 30-Jun-2015
Abstract: The main goal of this project is to study the hedging trategy’s problem under the Geometric Brownian Motion market model. Because it is a continuous time model, it will be necessary to study the most important tools in stochastic calculus, like the Brownian motion, martingales, the stochastic integral, and finally, the Itô’s formula. Once it is done, we will introduce the financial markets, the the Black-Scholes market model under the non-arbitrage principle and it’s hedging strategies.
Note: Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2015, Director: Josep Vives i Santa Eulàlia
URI: http://hdl.handle.net/2445/68634
Appears in Collections:Treballs Finals de Grau (TFG) - Matemàtiques

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