Cálculo Estocástico e Aplicações às Finanças
Code
11579
Academic unit
Faculdade de Ciências e Tecnologia
Department
Departamento de Matemática
Credits
6.0
Teacher in charge
Maria Fernanda de Almeida Cipriano Salvador Marques
Weekly hours
4
Teaching language
Português
Subject matter
1- Stochastic Integral
2-Itô Formula
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