Currículo
Mathematical Methods in Finance MMFIN
Contextos
Groupo: Mathematical Finance > 2º Ciclo > Parte Escolar > Unidades Curriculares Obrigatórias
ECTS
6.0 (para cálculo da média)
Objectivos
- To review some basic material concerning the mathematical models of finance in order to create common skills and techniques in mathematical finance to the students coming from different backgrounds (exact sciences and social sciences) - To impart to the students a conceptual understanding of the basic ideas in mathematical finance. - To apply mathematical models to option pricing
Programa
- Overview of differential and integral calculus - Optimization in Rn - Basic concepts of option theory - European and American options. The Black-Scholes model - Partial differential equations - The Black-Scholes equation. Explicit solution - American options as free boundary problems and variational inequalities - The random nature of the stock market. Itô formula. - Lattice methods for valuing financial derivatives - Introduction to Monte Carlo method
Método de Avaliação
Exam.
Carga Horária
Carga Horária de Contacto -
Trabalho Autónomo - 101.5
Carga Total -
Bibliografia
Principal
- Tópicos de Equações Diferenciais. Modelo de Black-Scholes: Grossinho, M.R. . Textos de Apoio
- Métodos Numéricos em Finanças: Grossinho, M.R. . Textos de Apoio
- Option Pricing - Mathematical models and computation: Willmot, P., Dewynne, J., and Howison, S. 1998 Oxford Financial Press
Secundária
- Elementary Stochastic Calculus with Finance in View: Mikosch, T 2004 World Scientific
- The Concepts and Pratice of Mathematical Finance: Joshi, M. 2003 Cambridge University Press