Sumários

Black-Scholes model

21 Outubro 2024, 12:00 • João Guerra

Discussion of exercises on the Black-Scholes model and PDE. 

Derivation of the Black-Scholes PDE using a replicating portfolio. 
The Risk neutral valuation formula. Examples of application. 

Conclusion of the Binomial model. Introduction to Black-Scholes model

15 Outubro 2024, 11:30 • João Guerra

Binomial model:the state price deflator approach
Complete markets. 
Girsanov Theorem. Example of application. 
Assumptions of the Black-Scholes model. 
Derivation of the Black-Scholes PDE and Black-Scholes formulas. 

Recombining binomial model

14 Outubro 2024, 12:00 • João Guerra

Recombining binomial model: example in calculating the price of an American put option. 

The calibration of Binominal models - relationship between u, d and sigma (from the lognormal or geometric Brownian motion).
Use of the R package fOptions to price options with the binomial model. Examples. 

Binomial model

8 Outubro 2024, 11:30 • João Guerra

Binomial model: binomial model with n periods. 

The recombining binomial model. 

Binomial model - Introduction

7 Outubro 2024, 12:00 • João Guerra

Introduction to Binomial model.

One period and two-period binomial models. Examples. 
Replicating portfolios. 
The Risk Neutral measure Q.