Cálculo Estocástico e Aplicações às Finanças
Maria Fernanda de Almeida Cipriano Salvador Marques
Weekly - 4
Total - Available soon
1 -- Hui-Hsiung Kuo: Introduction to Stochastic Integration. Springer. 2006
2 -- Bernt Oksendal: Stochastic Differential Equations. Sringer. 1998
1- Stochastic Integral
3 - Stochastic differential equations (existence and uniqueness theorem)
4- Solving linear equations.
5- Markov''''s property of the solution of a stochastic differential equation.
6- Forward and backward Kolmogorov''''s equations
7- Girsanov''''s Theorem
8- Martingale representation theorem.
9- Black-Sholes Model
9.1- martingale measure
9.2- Replication strategy.
9.3- Price of European options
9.4- Black-Scholes Equation
9.5- Price of barrier options
9.6 Price of American options
9.7- Price of an America option as a solution to a free boundary problem.
10- Introduction to Malliavin Calculus
10.1- Study of price sensitivity using Malliavin''''s calculation
Programs where the course is taught: