2023
Tópics in Investments
Name: Tópics in Investments
Code: GES12564D
6 ECTS
Duration: 15 weeks/156 hours
Scientific Area:
Management
Teaching languages: Portuguese
Languages of tutoring support: Portuguese, English
Regime de Frequência: Presencial
Sustainable Development Goals
Learning Goals
This unit goal is to familiarize the students with assets pricing stochastic models (both in discrete and continuous time), interest rate stochastic models and portfolio optimization problems. To achieve this goal it is necessary to introduce some fundamental notions of stochastic calculus. The capacities to be developed are the following ones:
• Capacity to develop formal analytical reasoning.
• Capacity to analyze scientific articles using dynamic asset pricing models.
• Capacity to do research in advanced topics of asset pricing and portfolio optimization theory.
• Capacity to develop formal analytical reasoning.
• Capacity to analyze scientific articles using dynamic asset pricing models.
• Capacity to do research in advanced topics of asset pricing and portfolio optimization theory.
Contents
1 Basic notions of stochastic calculus
2 Basic notions of arbitrage based valuation applied to dynamic financial models
a) Pricing e Hedging
b) Fundamental theorem of asset valuation
c) Derivatives valuation (European and American type)
d) Cox, Ross, and Rubinstein binomial model (discrete time)
d) Deduction of Black-Scholes formula
d) Complete versus incomplete markets
3 Interest rate models
a) Models for short term interest rates
b) Models for the Forward interest rate
4 Optimization problems
a) Portfolio optimization
b) Risk minimization
c) Valuation in incomplete markets
2 Basic notions of arbitrage based valuation applied to dynamic financial models
a) Pricing e Hedging
b) Fundamental theorem of asset valuation
c) Derivatives valuation (European and American type)
d) Cox, Ross, and Rubinstein binomial model (discrete time)
d) Deduction of Black-Scholes formula
d) Complete versus incomplete markets
3 Interest rate models
a) Models for short term interest rates
b) Models for the Forward interest rate
4 Optimization problems
a) Portfolio optimization
b) Risk minimization
c) Valuation in incomplete markets
Teaching Methods
The classes are theoretic-practical. The students have to do problems sets at home where they have to use the concepts and tools learned in class, also they have to do critical analysis of papers.
The final score is given by: 50% - Final Exam; 30% - Problem sets to be done during the trimester; 20% - Mid-term examination.
The final score is given by: 50% - Final Exam; 30% - Problem sets to be done during the trimester; 20% - Mid-term examination.
Teaching Staff
- Elisabete Gomes Santana Félix Amado [responsible]
