Sumários
Risk neutral valuation formula and Black-Scholes formula
24 Maio 2017, 09:00 • João Guerra
The risk neutral valuation formula.
Examples and exercises.
The Black-Scholes formula for the call-option price.
Black-Scholes model - Black Scholes PDE and the risk neutral valuation formula
19 Maio 2017, 09:00 • João Guerra
The Black-Scholes PDE deduced using a replicating portfolio.
The risk neutral valuation formula deduced using the Feynman-Kac formula and the Girsanov Theorem.
The risk neutral measure or equivalent martingale measure Q.
Black-Scholes model
17 Maio 2017, 09:00 • João Guerra
Black-Scholes models.
Pricing financial derivatives.
The no-arbitrage principle.
The Black-Scholes partial differential equation.
Exercises and the Girsanov Theorem
5 Maio 2017, 09:00 • João Guerra
Exercises on the application of Feynman-Kac formulas.
The Girsanov theorem - conclusion.