Sumários

Stopping times, foward Kolmogorov equations and Exam problems

23 Maio 2022, 10:30 • João Guerra

Special topics: Stopping times, Kolmogorov backward equation and Kolmogorov forward equation for the transition densities or transition probabilities of Itô diffusion processes. Examples.

Discussion of exercises and exam problems.

Black Scholes formula and risk neutral valuation

20 Maio 2022, 10:00 • João Guerra

Black Scholes formula derivation for an European call option.

Exercises.

Risk neutral valuation

19 Maio 2022, 13:30 • João Guerra

Black-Scholes model.

Replicating portfolio.

Application of Feynman-Kac formula and Girsanov Theorem.

Risk neutral valuation formula.

Examples and exercises.

Introduction to Black-Scholes model

6 Maio 2022, 10:00 • João Guerra

Assumptions of the Black-Scholes model.

No-arbitrage and derivation of the Black-Scholes PDE.

Feynman-Kac formula, Kolmogorov backward equation

5 Maio 2022, 13:30 • João Guerra

Relationship between the heat equation and Brownian motion.

Backward Kolmogorov equation. Discussion of exercises.