Els models de Merton i Kou

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dc.contributor.advisorVives i Santa Eulàlia, Josep, 1963-
dc.contributor.authorPicas i Gil, Pau
dc.date.accessioned2023-10-26T06:33:08Z
dc.date.available2023-10-26T06:33:08Z
dc.date.issued2023-06-13
dc.descriptionTreballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2023, Director: Josep Vives i Santa Eulàliaca
dc.description.abstract[en] We will study some mathematical models which are useful to model financial markets. The most basic one, in the continuous case, is known as the Black-Scholes model. However, in order to model abrupt changes in the market, after introducing the Poisson process, we will study two models which include discontinuity, known as the Merton model and the Kou model. Finally, we will compare them.ca
dc.format.extent52 p.
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/2445/203145
dc.language.isocatca
dc.rightscc-by-nc-nd (c) Pau Picas i Gil, 2023
dc.rights.accessRightsinfo:eu-repo/semantics/openAccessca
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.sourceTreballs Finals de Grau (TFG) - Matemàtiques
dc.subject.classificationProcessos estocàsticsca
dc.subject.classificationProcessos puntuals
dc.subject.classificationProcessos de Markovca
dc.subject.classificationOpcions (Finances)ca
dc.subject.classificationTreballs de fi de grauca
dc.subject.classificationModels matemàticsca
dc.subject.otherStochastic processesen
dc.subject.otherPoint processes
dc.subject.otherMarkov processesen
dc.subject.otherOptions (Finance)en
dc.subject.otherBachelor's thesesen
dc.subject.otherMathematical modelsen
dc.titleEls models de Merton i Kouca
dc.typeinfo:eu-repo/semantics/bachelorThesisca

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Treballs Finals de Grau (TFG) - Matemàtiques