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tfg_carla_sanchez_gonzalez.pdf (605.91 KB)

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Bachelor thesis

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2023-06-13

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cc-by-nc-nd (c) Carla Sánchez González, 2023
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/203260

Introducción a la volatilidad estocástica: El modelo de Heston

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[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.

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Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2023, Director: Josep Vives i Santa Eulàlia

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Anàlisi estocàstica, Opcions (Finances), Models matemàtics, Matemàtica financera, Treballs de fi de grau

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Stochastic analysis, Options (Finance), Mathematical models, Business mathematics, Bachelor's theses

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Treballs Finals de Grau (TFG) - Matemàtiques

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SÁNCHEZ GONZÁLEZ, Carla. Introducción a la volatilidad estocástica: El modelo de Heston. [consulted: 8 of October of 2026]. Available at: https://hdl.handle.net/2445/203260

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