Sumários
The Black-Scholes model
23 Novembro 2012, 10:00 • João Guerra
The Black-Scholes model: replication of European call.
Advantages of the martingale approach.
State price de‡ator approach.
The Black-Scholes model with dividends.
Black-Scholes model
20 Novembro 2012, 10:00 • João Guerra
The Black-Scholes model.
The Black-Scholes PDE and the Black-Scholes formulas.
The risk-neutral valuation formula and the five-step method for the Black-Scholes model.
The martingale approach to the valuation of derivatives.
The Delta hedging and the replicating portfolio.
Preliminary concepts and the five step method
16 Novembro 2012, 10:00 • João Guerra
Preliminary concepts for continuous time models.
Equivalence of probability measures.
The Cameron-Martin-Girsanov theorem and the martingale representation theorem.
The five step method for pricing and hedging in the Binomial model.
Black-Scholes model: assumptions and discussion of the realism of these assumptions.
Recombining binomial model
13 Novembro 2012, 10:00 • João Guerra
Recombining binomial model.
Calibrating the binomial model.
The state-price deflator approach.