Sumários

Term structure models - Vasicek, CIR, Hull-White and two-factor models

28 Novembro 2023, 11:30 João Guerra

Term structure models - Vasicek, CIR, Hull-White and two-factor models.

Limitations of one factor models. 
Exercises. 


Term Structure models

23 Novembro 2023, 08:00 João Guerra

Term structure models- Pricing under the risk neutral measure Q. The market price of risk. 

Discussion of exercises.


Term structure models - introduction

21 Novembro 2023, 11:30 João Guerra

Term structure models - Introduction. 

Different types os interest rates. 


Black-Scholes model and portfolio management using the greeks

16 Novembro 2023, 08:00 João Guerra

Black-Scholes model and portfolio management using the greeks

Exercises


The Greeks

14 Novembro 2023, 11:30 João Guerra

The Greeks in finance and porfolio management. 

R scripts with fOptions package for option and greeks evaluation.