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memoria.pdf (600.26 KB)

Document type

Bachelor thesis

Publication date

2017-06-29

Publication license

cc-by-nc-nd (c) Matias Puig Cortada, 2017
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/122290

An introduction to stochastic volatility models

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Abstract

[en] The main goal of this work is to introduce the stochastic volatility models in mathematical finance and to develop a closed-form solution to option pricing in Heston’s stochastic volatiltiy model, following the arguments in Heston 1993. No background in mathematical finance will be assumed, so another main goal of this work is to develop the theory of stochastic integration and to introduce the Black-Scholes market model, the benchmark model in mathematical finance. Standard topics in the framework of market models, such as trading strategies, completeness and replication, and the notion of arbitrage, will also be reviewed.

Description

Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2017, Director: José Manuel Corcuera Valverde

Subject

Matemàtica financera, Treballs de fi de grau, Processos estocàstics, Mercat, Arbitratge (Economia)

Subject (English)

Business mathematics, Bachelor's theses, Stochastic processes, Market

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Treballs Finals de Grau (TFG) - Matemàtiques

Citation

PUIG CORTADA, Matias. An introduction to stochastic volatility models. [consulted: 10 of August of 2026]. Available at: https://hdl.handle.net/2445/122290

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