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 - 2

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

Programs

Programs where the course is taught: