Sumários

Options and financial derivatives - introduction

20 Outubro 2022, 11:30 • João Guerra

Options and financial derivatives: main concepts. 

Arbitrage opportunites. 
Examples of option trading. 
Terminology about options. 
Intrinsic price of options. 
Main factors that affect options prices. 

Stochastic interest rates - Conclusion

18 Outubro 2022, 11:30 • João Guerra

Stochastic interest rates: examples and exercises. 

Stochastic interest rates and rates of return

13 Outubro 2022, 11:30 • João Guerra

Introduction to  stochastic interest rates
Probability distribution and moments of the accumulated amount of a series of annual investments.
Independent annual rates of return. Example.
Dependent annual rates of return.
Log-normal distribution of yields.

Exercises

11 Outubro 2022, 11:30 • João Guerra

Discussion of exercises about stochastic calculus, Itô formula and stochastic differential equations. 

Stochastic Differential Equations

6 Outubro 2022, 11:30 • João Guerra

The Ornstein-Uhlenbeck process with mean reversion. Qualitative properties of the solution, how to solve the SDE and distribution of the solution. 

Applications of OU processe with mean reversion: the Vasicek model of interest rates and a stochastic volatility model. 

Exercises of application of the Ito formula.