Sumários

Recombining binomial model and how to calculate price of American option with binomial model

14 Outubro 2025, 11:30 • João Guerra

Recombining binomial model: definition and properties. 

How to estimate u and d from the volatility. 
The price deflator (or stochastic discount) approach. 
How to calculate the price of an American option with the recombining binomial model. Example. 

Binomial model

13 Outubro 2025, 12:00 • João Guerra

General binomial model with 2 periods and n periods. The replicating portfolio. 

The risk-neutral measure. 
Hedging with the replicating portfolio. 

Put call parity, Forward contracts and introduction to the Binomial model

7 Outubro 2025, 11:30 • João Guerra

Upper bounds for call and put option prices. 

Put-call parity relationship. 
Pricing forward contracts. 
Introduction to the one-period binomial model. 

Introduction to options and financial derivatives

6 Outubro 2025, 12:00 • João Guerra

Introduction to options: short position and long position in call and put options and payoffs. 

Intrinsic value of options. 
Factors that affect the prices of call and put options. 
Lower bounds for call and put options. 

Conclusion of Stochastic Differential Equations

30 Setembro 2025, 11:30 • João Guerra

Existence and uniqueness of solutions for stochastic differential equations: examples. 

Simulation of Brownian motion with drift and Geometric Brownian motion with R: examples. 
Introduction to Options and financial derivatives.