Binomial model

6 Novembro 2012, 10:00 • João Guerra

The binomial model. Assumptions, the no-arbitrage condition. The risk-neutral probability measure Q.

The binomial tree.

The replicating portfolio and hedging.

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Bounds for option prices and put-call parity

2 Novembro 2012, 10:00 • João Guerra

Forward contracts. Forward price.

Bounds for option prices.

Put-call parity.

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Derivatives

30 Outubro 2012, 10:00 • João Guerra

Self-financing portfolios and complete markets.

Factors affecting option prices.

Forward contracts and forward price.

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Introduction to the valuation of derivatives

26 Outubro 2012, 10:00 • João Guerra

Introduction to the valuation of derivatives: derivatives, options, arbitrage.

Speculation, leverage, hedging and abitrage. Examples.

Dangers of derivatives. The Nick Leeson case. The subprime financial crisis.

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Wilkie model and alternative models

23 Outubro 2012, 10:00 • João Guerra

The Wilkie model and alternative models. The parameter estimation problem. Exercises and problems.

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