Sumários

15 Novembro 2012, 21:30 • RENATO FILIPE RIBEIRO FRANÇA

4th exercise class

Exercises 23.1, 23.2, 23.3, 24.1

12 Novembro 2012, 21:00 • RENATO FILIPE RIBEIRO FRANÇA

3rd exercise class

Exercises 22.1, 22.2, 22.3, 22.5, 22.7

12 Novembro 2012, 18:00 • Raquel M. Gaspar

2. Stochastic Interest Rate Models

2.1. Continuous Time Finance Recap

2.1.1 No‐Arbitrage in Continuous Time

2.1.2 The Change‐of‐Numeraire Technique

2.1.3 The Choice of a Convenient Numeraire

2.1.4 The Forward Measure

2.1.5 The Fundamental Pricing Formulas

2.2 Short‐rate models

2.2.1 Interest Rate Trees

2.2.2 Single‐factor endogenous and exogenous CT models: advantages, disadvantages, calibration and treatability

2.2.3 Multi‐factor models

8 Novembro 2012, 21:00 • RENATO FILIPE RIBEIRO FRANÇA

2nd exercise class

Exercises 17, 18, 19 e 20 from the main list of exercises and 22.5 from Björk.

5 Novembro 2012, 21:00 • RENATO FILIPE RIBEIRO FRANÇA

1st exercise class