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https://hdl.handle.net/2445/140467
Title: | An introduction to the mathematical cornerstone of financial derivatives |
Author: | Morera Morales, Adrià |
Director/Tutor: | Vives i Santa Eulàlia, Josep, 1963- Roch, Oriol |
Keywords: | Integrals estocàstiques Treballs de fi de grau Actius financers derivats Gestió de cartera Mètode de Montecarlo Stochastic integrals Bachelor's theses Derivative securities Portfolio management Monte Carlo method |
Issue Date: | 18-Jan-2019 |
Abstract: | [en] There are several paths that lead to the Black-Scholes formula. This project discusses two of them. Chapters 2 and 3 depart from the discrete Cox-Ross-Rubinstein model of prices and reveal the Black-Scholes formula for European calls and puts. Chapters 4 and 5 go one step further by considering since inception the continuous modelling of prices, in which a new concept of integral must be defined in order to formulate the Black-Scholes hypotheses from a stochastical point of view. The project ends up debating the uses of derivatives and the appropriateness of the Black-Scholes model in the real world. Moreover, the annex contains Numerical Methods that implement the models covered in this project. |
Note: | Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2019, Director: Josep Vives i Santa Eulàlia i Oriol Roch |
URI: | https://hdl.handle.net/2445/140467 |
Appears in Collections: | Treballs Finals de Grau (TFG) - Matemàtiques |
Files in This Item:
File | Description | Size | Format | |
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memoria.pdf | Memòria | 607.77 kB | Adobe PDF | View/Open |
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