Opções e Modelos de Estrutura Temporal de Taxa de Juro


The objective of this discipline is to introduce and analyze a diverse set of financial products, completing the necessary development for a total qualification of the students with the necessary tools for their study. The mathematical models underlying the pricing and coverage problems will be revisited and contextualized.

General characterization





Responsible teacher

Pedro José dos Santos Palhinhas Mota


Weekly - 4

Total - 68

Teaching language



Knowledge of Measurement Theory, Stochastic Processes and Stochastic Calculus.


  • Bjork, T., Arbitrage, Theory in Continuous Time. Oxford University Press, 2009.
  • Duffie, D., Dynamic Asset Pricing Theory. Princeton University Press, 2001.
  • Lamberton, D. and  Lapeyre, B., Introduction to Stochastic Calculus Applied to Finance. Second Edition, Chapman & Hall  CRC, 2008.
  • Shreve, S.E.,  Stochastic  CalcuIus for  Finance  I & II. Springer, 2004.
  • Ross,  S.M., An Elementary Introduction  to Mathematical Finance. Cambridge University Press, 2011.

Teaching method

Classes work in a practical theoretical regime.

In the classes the theoretical concepts are exposed, some demonstrations are carried out simultaneously illustrating their application through examples and exercises.

A substantial part of the study is done in the student''''''''''''''''''''''''''''''''s autonomy, with the aid of notes and other bibliographical supports, and with the support of teachers to clarify doubts at pre-established times.

Evaluation method

The evaluation is os seminar type and is carried out through the accomplishment of individual projects delivered on the form of written reports. Both individual projects are valued between 0 and 20 and the final grade is the arithmetic mean of the individual projects classification.

The same evaluation method is applied to both continuous and suplementary evaluation.

Subject matter

  1. Pricing of Derivative Products
  2. Complete Markets and Hedging
  3. Dividends, Foreign Exchange Rates and Exotic Options
  4. Bonds and Interest Rates
  5. Short Rate Models


Programs where the course is taught: