Browsing FGV EMAp - Dissertações, Mestrado em Modelagem Matemática by Subject "Análise estocástica"

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    • On the numerical methods for the Heston model 

      Teixeira, Fernando Ormonde
      2017-09-29
      In this thesis we revisit numerical methods for the simulation of the Heston model’sEuropean call. Specifically, we study the Euler, the Kahl-Jackel an two versions of theexact algorithm schemes. To perform this task, ...

    • Stochastic supply curves and liquidity costs: estimation for brazilian equities 

      Hossaka, Guilherme Hideo Assaoka
      2018-06-26
      Market Liquidity is characterized by the easiness and freedom to trade assets at desired volumes and for prices perceived as representative of their values. When there is a scarcity of bid and ask offers at those terms, ...