Sumários
Introduction to derivatives
15 Outubro 2013, 09:30 • João Guerra
Derivatives and options: introduction, terminology, examples, leverage, speculation and hedging. Dangers of trading derivatives.
Lognormal model and time series properties
8 Outubro 2013, 09:30 • João Guerra
The Lognormal model.
Time series cross-sectional and longitudinal properties.
Brief introduction to the Wilkie model.
The continuous-time lognormal model
7 Outubro 2013, 10:00 • João Guerra
The Ornstein-Uhlenbeck with mean reversion. The Vasicek model SDE.
The continuous-time lognormal model: properties, the model and the market efficiency hypothesis. Advantages and drawbacks of the model.
Stochastic differential equations and diffusion processes
1 Outubro 2013, 09:30 • João Guerra
Stochastic differential equations and diffusion processes.
Examples: geometrical Brownian motion and the SDE from Black-Scholes model, Ornstein-Uhlenbeck process