Processos de Lévy e Aplicações (1 º Sem 2017/2018)

Group assignments Link

Ficheiros

Group assignment information (read this first) (Group assignment 2017.pdf, 35KB)
Paper - Variance Gamma (Carr_Madan_Chang_Variance_Gamma.pdf, 153KB)
Paper - CGMY (Carr_Geman_Yor_Madan_CGMY_model.pdf, 192KB)
Paper - Meixner process (Schoutens_The_Meixner_process_in_Finance.pdf, 308KB)
Paper - Stochastic volatility for Lévy processes (Stochastic_volatility_for_Levy_Processes.pdf, 252KB)
Paper - processes with bilateral gamma distributions (processes_Bilateral gamma distributions and processes_finance.pdf, 465KB)
Paper - processes of normal inverse Gaussian type (Barndorff_Nielsen_Processes_of_normal_inverse_Gaussian_Type.pdf, 217KB)
Paper - Generalized hyperbolic model (Eberlein_Prause_Generalized_Hyperbolic_model.pdf, 500KB)