Sumários

Risk neutral valuation

9 Novembro 2023, 08:00 • João Guerra

Risk neutral valuation of options and financial derivatives. Examples and exercises. 

The case with dividends. 

Risk neutral valuation of options and financial derivatives

7 Novembro 2023, 11:30 • João Guerra

Derivation of Black-Scholes PDE by using a replicating portfolio.
The Girsanov Theorem
Risk neutral valuation of options and financial derivatives: examples and exercises. 

Black-Scholes PDE

2 Novembro 2023, 08:00 • João Guerra

Black-Scholes model assumptions and introduction.
The derivation of Black-Scholes PDE by using a risk neutral portfolio. 

Recombining binomial model

26 Outubro 2023, 08:00 • João Guerra

Recombining binomial model: examples. 

An example with an american option. 
Calibration of Binomial model and lognormal model. 
R-Scripts for Binomial model application with package fOptions. 

Binomial model

24 Outubro 2023, 11:30 • João Guerra

The Binomial model: the one period-case, the two period case and the n-period case. 

Examples with European options. 
The Recombining binomial model or recombining binomial tree.