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.
Black Scholes formula and risk neutral valuation
20 Maio 2022, 10:00 • João Guerra
Black Scholes formula derivation for an European call option.
Risk neutral valuation
19 Maio 2022, 13:30 • João Guerra
Black-Scholes model.
Introduction to Black-Scholes model
6 Maio 2022, 10:00 • João Guerra
Assumptions of the Black-Scholes model.
Feynman-Kac formula, Kolmogorov backward equation
5 Maio 2022, 13:30 • João Guerra
Relationship between the heat equation and Brownian motion.