Sumários
Exam problems and exercises
12 Maio 2023, 11:00 • João Guerra
Discussion of exam problems and exercises on stochastic differential equations, PDE's and SDE's and option pricing.
Option pricing problems
10 Maio 2023, 10:00 • João Guerra
Option pricing problems and exercises.
Black-Scholes formulas and special topics
5 Maio 2023, 11:00 • João Guerra
Derivation of the Black-Scholes formula for the call option using the risk neutral valuation formula.
The Black-Scholes model
3 Maio 2023, 10:00 • João Guerra
Derivation of the Black-Scholes PDE by using no arbitrage and a replicating portfolio.
The Black-Scholes Model
28 Abril 2023, 11:00 • João Guerra
The Black-Scholes model assumptions.