Sumários

Black-Scholes model and implied volatility

10 Novembro 2025, 12:00 • João Guerra

Discussion of exercises about the Black-Scholes model. 

Implied volatility and the implied volatility smile. Examples of calculation using R and package derivmkts and plot of the volatility smile from real market data using R and derivmkts. 

The greeks and portfolio management

4 Novembro 2025, 11:30 • João Guerra

The greeks: Delta, Gamma, Vega, Rho, Theta, Lambda or Psi. 

Calculating the greeks using the drivmkts package in R. 
Estimating the greeks numerically by using finite diferences - example in R. 
Discussion of exercises on Black-Scholes model. 

The Black-Scholes model

3 Novembro 2025, 12:00 • João Guerra

The Black-Scholes model - Implementation of R of risk-neutral valuation formula by Monte Carlo Simulation and using

Black-Scholes formulas implemented in package drivmkts. 
Discussion of exercises. 

The Black-Scholes model

28 Outubro 2025, 11:30 • João Guerra

The Black-Scholes model. 

Risk-neutral valuation formula. 
The martingale approach versus the PDE approach. 
The Black-Scholes model with dividends. 
The deflator/stochastic discount factor approach. 

Black-Scholes model

27 Outubro 2025, 12:00 • João Guerra

Black-Scholes model - A new derivation of the Black-Scholes PDE

The replicating portfolio. 
The risk-neutra lvaluation formula. Examples.