Sumários

Discussion of problems and exercises

29 Abril 2025, 11:30 • João Guerra

Discussion of exam problems and review of some important concepts. 

Problems and exercises

24 Abril 2025, 11:00 • João Guerra

Discussion of problems and exercises about the Black-Scholes model. 

Discussion of exam problems and review of some concepts. 

Exercises and problems

22 Abril 2025, 11:30 • João Guerra

Discussion of exercises and problems about the Black-Scholes models

Black-Scholes Equation - Class 2

10 Abril 2025, 11:00 • João Guerra

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

The derivation of the Black-Scholes formula for a call option. 
Examples and exercises on the application of the  risk neutral valuation formula.

Black-Scholes model - Class 1

8 Abril 2025, 11:30 • João Guerra

The Black-Scholes model assumptions. 

The derivation of the Black-Scholes Equation by introducing a riskless portfolio. 
The derivation of the Black-Scholes Equation by introducing a replicating portfolio.