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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 forQuantitative Finance, Springer, 2013.

Bibliografia Secundria:

N. H. Bingham and R. Kiesel, Risk-Neutral Valuation: Pricing and Hedging ofFinancial Derivatives, 2nd. Edition, Springer, 2004.

K.-I. Sato, Lvy Processes and Infinitely Divisible Distributions, CambridgeUniversity Press, 1999.

W. Schoutens and J. Cariboni, Levy Processes in Credit Risk, Wiley, 2009.

3. Clculo EstocsticoBibliografia 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 UniversityPress, 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.

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4. Models in Finance:

Bibliografia Principal:

Tomas Bjrk, Arbitrage Theory in Continuous Time, second edition, OxfordUniversity 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 ofFinancial Derivatives, 2nd. Edition, Springer, 2004.

T. Mikosch, Elementary Stochastic Calculus with Finance in view, World Scientific,1998.