Mathematical Methods in Finance (1 º Sem 2020/2021)

MF (Mathematical Finance)

Linhas Programáticas

- Overview of differential and integral calculus
- Optimization in Rn
- Basic concepts of option theory
- European and American options. The Black-Scholes model
- Partial differential equations
- The Black-Scholes equation. Explicit solution
- American options as free boundary problems and variational inequalities
- The random nature of the stock market. Itô formula.
- Lattice methods for valuing financial derivatives
- Introduction to Monte Carlo method