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Black_Scholes_.c (896 B)
CRR_Mathematica.nb (4.94 KB)

Document type

Bachelor thesis

Publication date

2016-01-17

Publication license

cc-by-nc-nd (c) Arnau Moro Lozano, 2016
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/98195

Models discrets i continus de mercats financers

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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.

Description

Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2016, Director: Josep Vives i Santa Eulàlia

Subject

Mercat financer, Treballs de fi de grau, Matemàtica financera, Martingales (Matemàtica), Processos estocàstics

Subject (English)

Financial market, Bachelor's theses, Business mathematics, Martingales (Mathematics), Stochastic processes

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Treballs Finals de Grau (TFG) - Matemàtiques
Programari - Treballs de l'alumnat

Citation

MORO LOZANO, Arnau. Models discrets i continus de mercats financers. [consulted: 10 of August of 2026]. Available at: https://hdl.handle.net/2445/98195

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