Now showing items 1-5 of 5

  • Evaluation of NIG and Heston models in Financial Mathematics 

    Octavio Bayón, Jordi; Torres Baix, Joan (Universitat Politècnica de Catalunya / Blekinge Tekniska Högskola, 2008)
    Master thesis (pre-Bologna period)
    Restricted access - confidentiality agreement
  • Microscopic models applied to financial markets 

    Riu Vicente, Jordi (Universitat Politècnica de Catalunya, 2015-07-01)
    Bachelor thesis
    Open Access
    We use the dynamical Ising model, with stochastic dynamics for the coupling, in order to try to reproduce financial markets indexes. Specifically, the coupling follows an Ornstein-Uhlenbeck process. Regarding the employed ...
  • On the nucleolus of 2 × 2 assignment games 

    Martínez De Albeniz, Javier; Rafels Pallarola, Carlos; Ybern Carballo, María de las Nieves (2013)
    Open Access
    We provide explicit formulas for the nucleolus of an arbitrary assignment game with two buyers and two sellers. Five different cases are analyzed depending on the entries of the assignment matrix. We extend the results to ...
  • Pure bargaining problems with a coalition structure 

    Carreras Escobar, Francisco; Owen Salazar, Guillermo (2016-08)
    Open Access
    We consider here pure bargaining problems endowed with a coalition structure such that each union is given its own utility. In this context we use the Shapley rule in order to assess the main options available to the agents: ...
  • Uncertain volatility pricing in QuantLib 

    Jou Montull, Carles (Universitat Politècnica de Catalunya, 2009-06)
    Master thesis
    Open Access
    En aquest projecte es presenta una implementació del model de volatilitat incerta d'Avellaneda Levy i Paras en QuantLib, una llibreria C++ de finances quantitatives. El model determina un interval de preus per als productes ...