Opções Financeiras e Produtos Estruturados


The objective of this course is to start from basic concepts of derivatives and develop an understanding of the role and practical use of options as a financial instrument, especially in the context of Corporate Finance. The course discusses hedging and pricing of options using both the discrete and continuous-time (Black and Scholes approach). We then relate these techniques to corporate finance applications such as the valuation of investment opportunities,as well as the design of corporate debt instruments

Caracterização geral





Professor responsável

Luís Alberto Ferreira de Oliveira


Semanais - A disponibilizar brevemente

Totais - A disponibilizar brevemente

Idioma de ensino

Português. No caso de existirem alunos de Erasmus, as aulas serão leccionadas em Inglês




John Hull, Options, Futures, and Other Derivatives, Prentice-Hall, Englewood Cliffs, New Jersey, U.S.A. 8th edition, 2012,

Método de ensino

The teaching method is based on lectures, 2 per week. Students are required to solve online a list of exercises every week regarding the topics discussed in class during that week. At the end there is an applied case study to be solved, where students should make use of the material of the course. A final and short comprehensive exam is made at the end.

Método de avaliação

Weekly online exercises: (average grade E).

Case Studies (grade C)

Final exam (grade F)

Final grade will be 0.5F+0.3C+0.2E


1st class: Introduction to Options: notation, payoffs and strategies

2nd class: Bounds on Option prices: the principles of no-arbitrage

3rd class: The Binomial Option Pricing Model

4th class: State Prices and Derivatives Valuation: Recovering the Binomial Model

5th class: Valuing Options with Stochastic Volatility and Term Structure of Interest Rates

6th class: Valuing Options in N periods and the Continuous-Time Limit;

7th class: Valuing American Options and Options on Dividend-Paying Assets;

8th class: The Black-Scholes Model and its Properties;

9th class: Equity and Corporate Debt Representations as Options;

10th class: Real Options;

11th class: Dynamic Delta Hedging and the Greeks;

12th class: Principles of Simulation;

13th Class: Exotic Options;

14th Class: Discrete-Time Models for Options on Interest Rates;

15th Class: Case Presentation.


Cursos onde a unidade curricular é leccionada: