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http://hdl.handle.net/2445/192140
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DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Vives i Santa Eulàlia, Josep, 1963- | - |
dc.contributor.author | Ovejero Torres, Laura | - |
dc.date.accessioned | 2023-01-13T07:55:57Z | - |
dc.date.available | 2023-01-13T07:55:57Z | - |
dc.date.issued | 2022-06-13 | - |
dc.identifier.uri | http://hdl.handle.net/2445/192140 | - |
dc.description | Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2022, Director: Josep Vives i Santa Eulàlia | ca |
dc.description.abstract | [en] In this work we will explain stochastic integration for brownian motion and martingales, from basic but necessary concepts from stochastic analysis to how it is applied to Girsanov Theorem, which is the main theorem in this project. Moreover, we will briefly develop how stochastic analysis is applied to Black-Scholes financial model, both developing necessary conditions and the mathematic equation for european options. | ca |
dc.format.extent | 46 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | cat | ca |
dc.rights | cc-by-nc-nd (c) Laura Ovejero Torres, 2022 | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | * |
dc.source | Treballs Finals de Grau (TFG) - Matemàtiques | - |
dc.subject.classification | Anàlisi estocàstica | ca |
dc.subject.classification | Treballs de fi de grau | - |
dc.subject.classification | Integrals estocàstiques | ca |
dc.subject.classification | Estadística matemàtica | ca |
dc.subject.classification | Mercat financer | ca |
dc.subject.other | Stochastic analysis | en |
dc.subject.other | Bachelor's theses | - |
dc.subject.other | Stochastic integrals | en |
dc.subject.other | Mathematical statistics | en |
dc.subject.other | Financial market | en |
dc.title | Teorema de Girsanov i aplicació al model de Black-Scholes | 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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tfg_ovejero_torres_laura.pdf | Memòria | 614.54 kB | Adobe PDF | View/Open |
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