Sumários

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. 

Stochastic Differential Equations

29 Setembro 2025, 12:00 • João Guerra

Stochastic Differential Equations: the Ornstein-Uhlenbeck process with mean reversion. 

Discussion of exercises on the application of Ito formula and stochastic differential equations.

Stochastic Differential Equations

23 Setembro 2025, 11:30 • João Guerra

Discussions of exercises on the application of Ito formula. 

Ordinary differential equations and stochastic differential equations: introduction, definition of solution. 
Examples of solvable stochastic differential equations: the geometric Brownian motion SDE and the Ornstein-Uhlenbeck or Langevin SDE. 

Ito processes and Ito formula

22 Setembro 2025, 12:00 • João Guerra

Ito processes: definition and examples. 

One dimensional Ito formula: examples and exercises. 
Multidimensional Brownian motion, multidimensional Ito processes and multidimensional Ito formula: examples and exercises.