Sumários
Tutorial Class
3 abril 2025, 16:00 • Catarina Alexandra Gameiro Carvalho
Discussion of the final exercises list.
Class April 02nd
2 abril 2025, 15:30 • Gerardo Barrera
We review advantages and disadvantages of arithmetic Brownian motion, Vasicek model, Black and Scholes model.
We also solve problems from list 3, specifically, find the fair prices using the risk neutral probability under the Black and Scholes model for:
1) piecewise payoff, 2) log payoff and 3) binary payoff.
1) piecewise payoff, 2) log payoff and 3) binary payoff.
Class March 28th
28 março 2025, 15:00 • Gerardo Barrera
We cover and review examples, graphs, and theory of
- Brownian motion,
- arithmetic Brownian motion,
- Vasicek model,
- Zero coupon price,
- Black and Scholes: partial differential equation approach and solution,
- Black and Scholes: Martingale approach, risk neutral probability, and martingale solution.
Tutorial Class
27 março 2025, 16:00 • Catarina Alexandra Gameiro Carvalho
Discussion of the exercises list 3.