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Processus stochastiques en finance (2ème partie)

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  • Flôres Junior, Renato Galvão
  • Szafarz, Ariane

Abstract

Ce document est un texte didactique destiné aux étudiants et aux chercheurs en économétrie et en finance. Il est basé sur l'expérience des auteurs en cours de troisieme cycle à l'ULB, Bruxelles et à la FGVIEPGE, Rio. Il n'a ni la prétention d'une rigueur mathématique totale, ni l'objectif de couvrir toutes les applications financieres de la théorie des processus stochastiques. Cette deuxieme partie discute les mesures équivalentes de martingales, le théoreme de Girsanov et son application au modele de Black et Scholes, et l'evaluation d'un call européen sur une obligation. Les auteurs remercient à leurs étudiants dans les deux côtés de l' Atlantique et à Patrick Bolton pour sa lecture attentive et ses remarques constructives .

Suggested Citation

  • Flôres Junior, Renato Galvão & Szafarz, Ariane, 1996. "Processus stochastiques en finance (2ème partie)," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 295, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    • Handle: RePEc:fgv:epgewp:295
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