Black-Scholes model - the greeks

26 Novembro 2020, 11:30 • João Guerra

Black-Scholes model. 

The greeks. Delta Hedging and Delta neutral portfolios. The use of greeks in the management of portfolios risk.

Exercises. 

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Black-Scholes model

24 Novembro 2020, 11:30 • João Guerra

The Black-Scholes model. 

Exercises. 

The Greeks: Delta, Gamma, Theta, Vega, Lambda, Rho. 

 

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Black-Scholes model

19 Novembro 2020, 11:30 • João Guerra

Black-Scholes model. Risk-neutral valuation formula. Example of application:  the call option and the derivation of the Black-Scholes formula for the call option. 

Exercises. 

The replicating portfolio for an option or financial derivative. The Delta - definition. 

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The Black-Scholes model

17 Novembro 2020, 11:30 • João Guerra

The Black-Scholes model.

The PDE approach and the Black-Scholes equation. 

The martingale approach and the risk-neutral valuation formula. 

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Binomial model simulation in R and introduction to Black-Scholes model

12 Novembro 2020, 11:30 • João Guerra

Binomial model simulation in R: examples using the R Package fOptions, 

Introduction to Black-Scholes model: model assumptions and the Black-Scholes formula for call options. 

Continuous time models: preliminary concepts. 

The Girsanov Theorem. Application to the Geometrical Brownian motion: existence of a measure Q (risk neutral measure or equivalent martingale measure)

such that the discounted price is a martingale. 

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