Tópics in Investments
Sustainable Development Goals
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.
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
The final score is given by: 50% - Final Exam; 30% - Problem sets to be done during the trimester; 20% - Mid-term examination.
- Elisabete Gomes Santana Félix Amado [responsible]