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http://hdl.handle.net/2445/140467
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DC Field | Value | Language |
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dc.contributor.advisor | Vives i Santa Eulàlia, Josep, 1963- | - |
dc.contributor.advisor | Roch, Oriol | - |
dc.contributor.author | Morera Morales, Adrià | - |
dc.date.accessioned | 2019-09-19T07:56:10Z | - |
dc.date.available | 2019-09-19T07:56:10Z | - |
dc.date.issued | 2019-01-18 | - |
dc.identifier.uri | http://hdl.handle.net/2445/140467 | - |
dc.description | Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2019, Director: Josep Vives i Santa Eulàlia i Oriol Roch | ca |
dc.description.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. | ca |
dc.format.extent | 82 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | ca |
dc.rights | cc-by-nc-nd (c) Adrià Morera Morales, 2019 | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | * |
dc.source | Treballs Finals de Grau (TFG) - Matemàtiques | - |
dc.subject.classification | Integrals estocàstiques | ca |
dc.subject.classification | Treballs de fi de grau | - |
dc.subject.classification | Actius financers derivats | ca |
dc.subject.classification | Gestió de cartera | ca |
dc.subject.classification | Mètode de Montecarlo | ca |
dc.subject.other | Stochastic integrals | en |
dc.subject.other | Bachelor's theses | - |
dc.subject.other | Derivative securities | en |
dc.subject.other | Portfolio management | en |
dc.subject.other | Monte Carlo method | en |
dc.title | An introduction to the mathematical cornerstone of financial derivatives | 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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memoria.pdf | Memòria | 607.77 kB | Adobe PDF | View/Open |
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