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Biblioteca

Biblioteca didctica
Nome do Docente: Joo Guerra Nome da Disciplina Matemtica I Processos de Lvy e Aplicaes Clculo Estocstico Models in Finance (Modelos em Finanas) Ano 1 2 1 2 Curso1 Licenciatura E/G/F Mestrado em Matemtica Financeira Mestrado em Matemtica Financeira Mestrado em Cincias Actuariais

1. Licenciatura, Mestrado, Doutoramento

1. Matemtica I:
Bibliografia Principal:

Knut Sydster and Peter J. Hammond, Essential Mathematics for Economic Analysis, Financial Times Press/Prentice Hall (3 edio), 2008.

Bibliografia Secundria:

Jaime Campos Ferreira, Introduo Anlise Matemtica, Fundao Calouste Gulbenkian, 2008. Tom M. Apostol, Calculus - Volume 1: One-Variable Calculus with an Introduction to Linear Algebra, Wiley, 1975. Isabel Cabral, Ceclia Perdigo and Carlos Saiago, lgebra Linear, Escolar Editora, 2008. Carlos Sarrico, Anlise Matemtica, Gradiva, 2005.

2. Processos de Lvy e aplicaes:

Bibliografia Principal:

W. Schoutens, Lvy Processes in Finance, John Wiley & Sons, 2003. D. Applebaum, Lvy Processes and Stochastic Calculus, Second Edition, Cambridge University Press, 2009. R. Cont and P. Tankov, Financial modelling with Jump Processes, Chapman & Hall / CRC Press, 2003. N. Hilber, Oleg Reichmann, C. Schwab and C. Winter, Computational Methods for Quantitative Finance, Springer, 2013.

Bibliografia Secundria:

N. H. Bingham and R. Kiesel, Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives, 2nd. Edition, Springer, 2004. K.-I. Sato, Lvy Processes and Infinitely Divisible Distributions, Cambridge University Press, 1999. W. Schoutens and J. Cariboni, Levy Processes in Credit Risk, Wiley, 2009.

3. Clculo Estocstico
Bibliografia Principal:

B. Oksendal, Stochastic Differential Equations: An Introduction with Applications, 6th. Edition, Springer, 2003. Fima C. Klebaner, Introduction to Stochastic Calculus with Applications, 2nd Edition, Imperial College Press, 2005. I. Karatzas and S. E. Shreve, Brownian Motion and Stochastic Calculus, 2nd edition, Springer, 1991.

Bibliografia Secundria:

T. Mikosch, Elementary Stochastic Calculus with Finance in view, World Scientific, 1998. Tomas Bjork, Arbitrage Theory in Continuous Time, 2nd Ed., Oxford University Press, 2004. D. Revuz and M. Yor , Continuous martingales and Brownian motion, Third Edition, Springer , 1999. P. E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations, Springer, 1992.

4. Models in Finance:
Bibliografia Principal: Tomas Bjrk, Arbitrage Theory in Continuous Time, second edition, Oxford University Press., 2004. J. Hull, Options, futures and other derivatives, 7th ed., Prentice Hall, 2008. Phillip J.Schnbucher, Credit Derivatives Pricing Models, Wiley Finance, 2003. Bibliografia Secundria: B. Oksendal, Stochastic Differential Equations: An Introduction with Applications, 6th. Edition, Springer, 2003. N. H. Bingham and R. Kiesel, Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives, 2nd. Edition, Springer, 2004. T. Mikosch, Elementary Stochastic Calculus with Finance in view, World Scientific, 1998.