Modelos em Finanças (1 º Sem 2015/2016)

CA (Actuarial Science)

Bibliografia

Principal

  • Bingham , N. H. and Kiesel, R. , Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives , second edition, Springer., 2004
  • Björk, Tomas , Arbitrage Theory in Continuous Time , second edition, Oxford University Press. , 2004
  • Hull, J. , Options, futures and other derivatives , 7th ed., Prentice Hall., 2008
  • Oksendal, B., Stochastic Differential Equations: An Introduction with Applications , 6th edition, Springer, 2003
  • Institute and Faculty of Actuaries, Core Reading for the 2015 examinations, Subject CT8, The Actuarial Profession, Institute and Faculty of Actuaries, 2014
  • Guerra, J., Lecture notes - Stochastic Calculus for Models in Finance, Lecture Notes, ISEG, Universidade de Lisboa, , 2013

Secundária

  • Mikosch, T., Elementary Stochastic Calculus With Finance in View, World Scientific Publishing Company, 1999
  • Nualart, D., Lecture Notes on Stochastic Calculus, http://www.math.ku.edu/~nualart/StochasticCalculus.pdf, 2008