Niveau: Supérieur, Master
Universite d'Orleans – Master 2 Pro de Mathematiques 1 TD Master 2 – Mathematiques financieres Corrige Serie 4 – Marches viables et marches complets On considere les modeles de marches normalises (dX0(t) = 0) suivants : a. { dX1(t) = 3 dt+ dB1(t) + dB2(t) , dX2(t) = ?dt+ dB1(t)? dB2(t) . b. { dX1(t) = dt+ dB1(t) + dB2(t)? dB3(t) , dX2(t) = 5 dt? dB1(t) + dB2(t) + dB3(t) . c. { dX1(t) = dt+ dB1(t) + dB2(t)? dB3(t) , dX2(t) = 5 dt? dB1(t)? dB2(t) + dB3(t) . d. { dX1(t) = dt+ dB1(t) + dB2(t)? dB3(t) , dX2(t) = ?3 dt? 3 dB1(t)? 3 dB2(t) + 3 dB3(t) . e. ? ?? ?? dX1(t) = dt+ dB1(t) + dB2(t) , dX2(t) = 2 dt+ dB1(t)? dB2(t) , dX3(t) = 3 dt? dB1(t) + dB2(t) .
- modeles de marches
- marche
- theoreme de representation des martingales
- ?1 ?1
- db1
- portefeuille ?
- matrice ? de dimension
- dt? db1