Teoria da Probabilidade e Modelos Discretos em Finanças
Objectives
Available soon
General characterization
Code
11576
Credits
9.0
Responsible teacher
Manuel Leote Tavares Inglês Esquível
Hours
Weekly - 4
Total - Available soon
Teaching language
Português
Prerequisites
Available soon
Bibliography
- Bjork, T., An introduction to Arbitrage Theory in Continuous Time, Oxford University Press, 2004.
- Lamberton, D. and Lapeyre, B., Introduction to Stochastic Calculus Applied to Finance, Chapman & Hall 2008.
- Shiryaev, A.N., Essentials of Stochastic Finance, World Scientific, 1999.
Teaching method
Available soon
Evaluation method
Available soon
Subject matter
1-Fundamentals of measure theory and probabilities
2- Conditional expectations
3- Martingalas
4- Binomial Model
5- Multi-period models