Teoria da Probabilidade e Modelos Discretos em Finanças
Code
11576
Academic unit
Faculdade de Ciências e Tecnologia
Department
Departamento de Matemática
Credits
9.0
Teacher in charge
Marta Cristina Vieira Faias Mateus
Weekly hours
4
Teaching language
Português
Subject matter
1- Measure spaces
2- Lebesgue integral
3- L^ p spaces
4- Conditional Expectation
5- Introdution to Markov processes
6- Martingale notion and elementary properties
7- Browniano motion
8- Multiperiod securities markets
8.1- Return and dividend processes
8.2- The binomial model
8.3- Markov models
9- Asset pricing in multiperiod models
9.1- European options under the binomial model
9.2- American options
9.3- Futures
10- Optimal consumption and investment problems
Bibliography
1 Marek Capinski, Ekkehard Kopp. Measure, Integration and Probability. Springer- Verlag
2. Cerny, Ales, Mathematical Techniques in Finance. Princeton University Press, 2009
3. J. L. Doob: Sochastic Processes. John Wiley and Sons
4. Pliska, Stanley, Introduction to Mathematical Finance – Discrete time models. Blackwel Publishers, 1997