The Binomial model

4 Novembro 2013, 10:00 • João Guerra

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

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The Binomial model

29 Outubro 2013, 09:30 • João Guerra

Exercises.

The one-period Binomial model.

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Forward contracts and bounds on option prices

28 Outubro 2013, 10:00 • João Guerra

Forward contracts. Lower and upper bounds on option prices.

The put-call parity relation.

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Factors affecting options prices. Complete markets.

22 Outubro 2013, 09:30 • João Guerra

Self-financing portfolios, replicating portfolios and complete markets.

Factors affecting option prices.

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Exercises

21 Outubro 2013, 10:00 • João Guerra

Exercises on stochastic calculus, Ito formula and stochastic models for financial assets.

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