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http://hdl.handle.net/2445/68634
Title: | Estratègies d'inversió a temps continu sota el model brownià geomètric |
Author: | Boixadera Sanchís, Marc |
Director/Tutor: | Vives i Santa Eulàlia, Josep, 1963- |
Keywords: | Moviment brownià Treballs de fi de grau Martingales (Matemàtica) Processos estocàstics Mercat financer Brownian movements Bachelor's 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 |
Files in This Item:
File | Description | Size | Format | |
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memòria.pdf | Memòria | 400.86 kB | Adobe PDF | View/Open |
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