Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/98195
Title: Models discrets i continus de mercats financers
Author: Moro Lozano, Arnau
Director: Vives i Santa Eulàlia, Josep, 1963-
Keywords: Mercat financer
Tesis
Matemàtica financera
Martingales (Matemàtica)
Processos estocàstics
Financial market
Theses
Business mathematics
Martingales (Mathematics)
Stochastic processes
Issue Date: 17-Jan-2016
Abstract: I decided to do this project after attending the subjects of Modelling and Stochastic Processes; the main objective was to relate the two subjects and deep into them. I have reached it dealing with the issue of Financial Mathematics. On the one hand, I have introduced the topic of financial market in discrete time using previous concepts such as that of martingale and be able to develop the model of Cox-Ross-Rubinstein. On the other hand, to deal with the financial market in continuous time and relate the two subjects, I have introduced the stochastic processes and I have achieved to detail the Balck-Scholes model.
Note: Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2016, Director: Josep Vives i Santa Eulàlia
URI: http://hdl.handle.net/2445/98195
Appears in Collections:Programari - Treballs de l'alumnat
Treballs Finals de Grau (TFG) - Matemàtiques

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memoria.pdfMemòria360.57 kBAdobe PDFView/Open
Black_Scholes_.cBlack-Scholes en C896 BUnknownView/Open
CRR_Mathematica.nbCRR en Mathematica4.94 kBUnknownView/Open


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