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http://hdl.handle.net/2445/68634
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DC Field | Value | Language |
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dc.contributor.advisor | Vives i Santa Eulàlia, Josep, 1963- | - |
dc.contributor.author | Boixadera Sanchís, Marc | - |
dc.date.accessioned | 2016-01-08T11:52:51Z | - |
dc.date.available | 2016-01-08T11:52:51Z | - |
dc.date.issued | 2015-06-30 | - |
dc.identifier.uri | http://hdl.handle.net/2445/68634 | - |
dc.description | Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2015, Director: Josep Vives i Santa Eulàlia | ca |
dc.description.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. | ca |
dc.format.extent | 39 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | cat | ca |
dc.rights | cc-by-nc-nd (c) Marc Boixadera Sanchís, 2015 | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es | - |
dc.source | Treballs Finals de Grau (TFG) - Matemàtiques | - |
dc.subject.classification | Moviment brownià | - |
dc.subject.classification | Treballs de fi de grau | - |
dc.subject.classification | Martingales (Matemàtica) | ca |
dc.subject.classification | Processos estocàstics | ca |
dc.subject.classification | Mercat financer | ca |
dc.subject.other | Brownian movements | - |
dc.subject.other | Bachelor's theses | - |
dc.subject.other | Martingales (Mathematics) | eng |
dc.subject.other | Stochastic processes | eng |
dc.subject.other | Financial market | eng |
dc.title | Estratègies d'inversió a temps continu sota el model brownià geomètric | ca |
dc.type | info:eu-repo/semantics/bachelorThesis | ca |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | ca |
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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