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http://hdl.handle.net/2445/98195
Title: | Models discrets i continus de mercats financers |
Author: | Moro Lozano, Arnau |
Director/Tutor: | Vives i Santa Eulàlia, Josep, 1963- |
Keywords: | Mercat financer Treballs de fi de grau Matemàtica financera Martingales (Matemàtica) Processos estocàstics Financial market Bachelor's theses Business mathematics Martingales (Mathematics) Stochastic processes |
Issue Date: | 17-Jan-2016 |
Abstract: | I decided to do this project after attending the subjects of Modelling and Stochastic Processes; the main objective was to relate the two subjects and deep into them. I have reached it dealing with the issue of Financial Mathematics. On the one hand, I have introduced the topic of financial market in discrete time using previous concepts such as that of martingale and be able to develop the model of Cox-Ross-Rubinstein. On the other hand, to deal with the financial market in continuous time and relate the two subjects, I have introduced the stochastic processes and I have achieved to detail the Balck-Scholes model. |
Note: | Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2016, Director: Josep Vives i Santa Eulàlia |
URI: | http://hdl.handle.net/2445/98195 |
Appears in Collections: | Programari - Treballs de l'alumnat Treballs Finals de Grau (TFG) - Matemàtiques |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
memoria.pdf | Memòria | 360.57 kB | Adobe PDF | View/Open |
Black_Scholes_.c | Black-Scholes en C | 896 B | Unknown | View/Open |
CRR_Mathematica.nb | CRR en Mathematica | 4.94 kB | Unknown | View/Open |
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