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http://hdl.handle.net/2445/203260
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DC Field | Value | Language |
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dc.contributor.advisor | Vives i Santa Eulàlia, Josep, 1963- | - |
dc.contributor.author | Sánchez González, Carla | - |
dc.date.accessioned | 2023-10-30T08:56:21Z | - |
dc.date.available | 2023-10-30T08:56:21Z | - |
dc.date.issued | 2023-06-13 | - |
dc.identifier.uri | http://hdl.handle.net/2445/203260 | - |
dc.description | Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2023, Director: Josep Vives i Santa Eulàlia | ca |
dc.description.abstract | [en] The purpose of this project is to develop the Black-Scholes model in order to incorporate stochastic volatility into the equation so we can analyze the Heston model. To achieve this, we will start with an introduction to stochastic calculus, laying the necessary mathematical foundations to fully understand the Black-Scholes model and its derivation. We will also briefly review some relevant financial knowledge that will be essential to comprehend the topic we are addressing. | ca |
dc.format.extent | 44 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | spa | ca |
dc.rights | cc-by-nc-nd (c) Carla Sánchez González, 2023 | - |
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 | Opcions (Finances) | - |
dc.subject.classification | Models matemàtics | ca |
dc.subject.classification | Matemàtica financera | ca |
dc.subject.classification | Treballs de fi de grau | ca |
dc.subject.other | Stochastic analysis | en |
dc.subject.other | Options (Finance) | - |
dc.subject.other | Mathematical models | en |
dc.subject.other | Business mathematics | en |
dc.subject.other | Bachelor's theses | en |
dc.title | Introducción a la volatilidad estocástica: El modelo de Heston | 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_carla_sanchez_gonzalez.pdf | Memòria | 605.91 kB | Adobe PDF | View/Open |
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