Sumários

Exam Problems Discussion

16 Maio 2024, 11:00 • João Guerra

Final class.

Discussion of previous exam problems.

Exercises on the Black Scholes model

14 Maio 2024, 11:30 • João Guerra

Discussion of exercises on the Black-Scholes model.

Black-Scoles model - Continuation

9 Maio 2024, 11:00 • João Guerra

Derivation of the Black-Scholes equation by using a replicating portfolio and the no-arbitrage assumption. The delta of an option ofr financial derivative and the replicating portfolio.

Derivation of the risk neutral valuation formula by using the Feynman-Kac formula and the Girsanov theorem.

Example of application of the risk-neutral valuation formula: the pricing of a call option.

Exercises about the Black-Scholes model: risk-neutral valuation of a Log-contract and of a Binary option.

Black-Scholes Model

7 Maio 2024, 11:30 • João Guerra

Black-Scholes model assumptions.

Derivation of the Black-Scholes PDE by using a zero risk portfolio and the no-arbitrage assumption.

The Girsanov Theorem

2 Maio 2024, 11:00 • João Guerra

The Girsanov theorem: elementary version of the Girsanov theorem, the Girsanov theorem with the Novikov condition, the multidimensional vesion of the Girsanov theorem.

Examples and applications of the Girsanov theorem.

Discussion of exercises on the Girsanov theorem.