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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
Appears in Collections:Treballs Finals de Grau (TFG) - Matemàtiques

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