Sumários

Interest rate models

5 Dezembro 2016, 10:00 João Guerra

Bond prices. 

Risk-neutral pricing in term structure models. 

The market price of risk. 

Option pricing on underlying bonds. 

The Vasicek model. 


The Greeks and introduction to interest rate models

28 Novembro 2016, 10:00 João Guerra

The Greeks and portfolio risk management: Delta, Gamma, Vega, Rho, Lambda and Theta. 

Introduction to term structure models. Bond prices, short rate, forward rates, forward curve and spot rate. 


Replicating portfolios in the Martingale approach

24 Novembro 2016, 11:30 João Guerra

Replicating portfolios in the Martingale approach.

The Black-Scholes model and the martingale approach with dividends. 

The Garman-Kohlhagen formula.

The Delta hedging. The Delta of a portfolio. 


Black-Scholes model

21 Novembro 2016, 10:00 João Guerra

The Black-Scholes model. 

The Cameron-Martin-Girsanov Theorem and the Martingale Representation Theorem. 

The martingale (or the 5 step method) approach to option pricing in the Black-Scholes model. The risk neutral or equivalent martingale measure. 

The risk-neutral valuation formula for option (and derivatives) pricing. 

Pedagogical survey. 


Black-Scholes model

17 Novembro 2016, 11:30 João Guerra

The Black-Scholes model assumptions. 

The Black-Scholes model: the PDE approach.

The Black-Scholes PDE.

The Black-Scholes formula for the call option and for the put-option.