Sumários

Pricing, hedging and completeness in the Black-Scholes model 2/2

16 Setembro 2024, 19:15 • Henrique Manuel Emídio Lourenço Guerreiro

Exercises 7.1, 7.2, 7.3, 7.4, 7.5, 7.6, 8.2, 8.3. Brief discussion on an example of a (very simple) derivative where the approach of slides 63-66 fails.

Part 2/2

Pricing, hedging and completeness in the Black-Scholes model 1/2

16 Setembro 2024, 17:30 • Henrique Manuel Emídio Lourenço Guerreiro

Exercises 7.1, 7.2, 7.3, 7.4, 7.5, 7.6, 8.2, 8.3. Brief discussion on an example of a (very simple) derivative where the approach of slides 63-66 fails.

Part 1/2

Refresher tutorial on Itô calculus and related topics 2/2

9 Setembro 2024, 19:15 • Henrique Manuel Emídio Lourenço Guerreiro

Refresher tutorial on Itô calculus and related topics. Among them Wiener process, filtrations, martingales, Itô isometry, Itô formula, simple SDEs, Feynman-Kac formula. Background on Slides 2-40 and Chapters 4,5. Exercises (from the 3rd Edition) 4.1, 4.3, 4.8, 5.1, 5.5, 5.9, and 5.8


Part 2/2

Refresher tutorial on Itô calculus and related topics 1/2

9 Setembro 2024, 17:30 • Henrique Manuel Emídio Lourenço Guerreiro

Refresher tutorial on Itô calculus and related topics. Among them Wiener process, filtrations, martingales, Itô isometry, Itô formula, simple SDEs, Feynman-Kac formula. Background on Slides 2-40 and Chapters 4,5. Exercises (from the 3rd Edition) 4.1, 4.3, 4.8, 5.1, 5.5, 5.9, and 5.8


Part 2/2