Seminario Dottorato: A simple model for Financial Indexes with some application

Wednesday 1 December 2010 - Alessandro Andreoli

ARGOMENTI: Seminars Ph.D. Program

Wednesday 1 December 2010 h. 14:30, room 2AB/40
Alessandro Andreoli (Univ. Padova, Dip. Mat.)
"A simple model for Financial Indexes with some application"

Mathematical finance is applied mathematics concerned with financial markets. Two of its major subjects are: 1. Mathematically modeling the prices of assets and indexes; 2. Option Pricing.
We first recall the Black & Scholes model for asset prices, then present an easy model that overcomes some weak points of Black & Scholes and other models (in particular the absence of multiscaling effects and of volatility autocorrelation decay). Finally, we give an overview of the option-pricing problem.

Rif. int. C. Marastoni, T. Vargiolu

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