Sumários

Bounds on option prices, put-call parity and Forward contracts

1 Outubro 2024, 11:30 • João Guerra

Bounds on option prices. 

Put-call parity. 
Futures and forward contracts. Forward price. 

Exercises and properties of option prices

30 Setembro 2024, 12:00 • João Guerra

Exercises on Stochastic Calculus applied to Finance

Factors that affect Call and Put options prices. 

Introduction to Options and Financial Derivatives

24 Setembro 2024, 11:30 • João Guerra

Conclusion of the study of the Ornstein-Uhlenbeck with mean reversion process. 

Introduction to Options and Financial Derivatives. 

Stochastic Differential Equations

23 Setembro 2024, 12:00 • João Guerra

Discussion of exercises on the application of Ito formula.

Stochastic Differential equations: Geometric Brownian motion SDE, Langevin SDE, Ornstein-Uhlenbeck with mean reversion SDE. 


Ito formula

17 Setembro 2024, 11:30 • João Guerra

Discussion of exercises on martingales and stochastic integrals. 

Itô process definition. 
One-dimensional Itô formula for Itô processes. Examples. 
Example of solving an SDE (the geometric Brownian motion SDE) using the Ito formula. 
The Multidimensional Itô formula. Example.